Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 696, doi. 10.1093/jjfinec/nbad013
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- Publication type:
- Article
Works matching IS 1479-8409 AND VI 22 AND IP 3 AND DT 2024
Results: 6
1
2
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 636, doi. 10.1093/jjfinec/nbad014
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- Publication type:
- Article
3
Optimal Portfolio Using Factor Graphical Lasso*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 670, doi. 10.1093/jjfinec/nbad011
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- Publication type:
- Article
4
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 743, doi. 10.1093/jjfinec/nbad007
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- Publication type:
- Article
5
High-Dimensional Granger Causality Tests with an Application to VIX and News*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 605, doi. 10.1093/jjfinec/nbac023
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- Publication type:
- Article
6
How Does Post-Earnings Announcement Sentiment Affect Firms' Dynamics? New Evidence from Causal Machine Learning.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 575, doi. 10.1093/jjfinec/nbac018
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- Publication type:
- Article