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Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage.

Rafael AlvesDiego S. de BritoMarcelo C. MedeirosRuy M. Ribeiro
Published in: CoRR (2023)
Keyphrases
  • covariance matrices
  • covariance matrix
  • probabilistic model
  • maximum likelihood
  • gaussian mixture model
  • image processing
  • decision trees
  • similarity measure
  • prior knowledge
  • probability distribution
  • distance measure