Forecasting High-Dimensional Covariance Matrices Using High-Dimensional Principal Component Analysis
We modify the recently proposed forecasting model of high-dimensional covariance matrices (HDCM) of asset returns using high-dimensional principal component analysis (PCA). It is well-known that when the sample size is smaller than the dimension, eigenvalues estimated by classical PCA have a bias. I...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2022-12-01
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| coleção: | Axioms |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2075-1680/11/12/692 |
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