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
- By:
- Publication type:
- Article
Works in Journal of Financial Econometrics, 2024, Vol 22, Issue 3
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
- By:
- 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
- By:
- 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
- By:
- 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
- By:
- 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
- By:
- Publication type:
- Article