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Number of items: 3.

Journal Article

Gribisch, Bastian, Hartkopf, Jan Patrick and Liesenfeld, Roman (2020). Factor state-space models for high-dimensional realized covariance matrices of asset returns. J. Empir. Financ., 55. S. 1 - 21. AMSTERDAM: ELSEVIER. ISSN 1879-1727

Hartkopf, Jan Patrick ORCID: 0000-0002-3704-1856 . Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. Empir. Econ.. HEIDELBERG: PHYSICA-VERLAG GMBH & CO. ISSN 1435-8921

Thesis

Hartkopf, Jan Patrick (2020). Modeling and Forecasting of Realized Covariance Matrices of Asset Returns using State-Space Models. PhD thesis, Universität zu Köln.

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