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Paper / 2014SMQ / 262535186069387
Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Anders B. Kock / Laurent A. F. Callot / Marcelo C. Medeiros
regression / time seriesResource overview

Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Paper2014

by Anders B. Kock, Laurent A. F. Callot, Marcelo C. Medeiros

Tags
regressiontime series

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Suggested foundations for financial time series. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

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  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

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