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Journal Article
Gribisch, Bastian 
ORCID: 0000-0002-6289-1799, Hartkopf, Jan Patrick ORCID: 0000-0002-3704-1856 and Liesenfeld, Roman ORCID: 0000-0001-6996-6215
(2020).
Factor state-space models for high-dimensional realized covariance matrices of asset returns.
Journal of Empirical Finance, 55.
1 - 20.
AMSTERDAM:
ELSEVIER.
ISSN 1879-1727 ; 0927-5398
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