Forecasting High Dimensional Covariance Matrices

Handbook of Volatility Models and Their Applications

Volumn , Issue , 2012, Pages 103-125

  Sheppard, Kevin ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Forecast evaluation, portfolio constraints; Forecasting, high dimensional covariance matrices; High frequency based forecasts

Indexed keywords

EID: 84886357020     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781118272039.ch4     Document Type: Chapter

References (0)