Realized covariance matrix is good at forecasting volatility

2010 International Conference on Logistics Systems and Intelligent Management (ICLSIM) ◽

10.1109/iclsim.2010.5461301 ◽

2010 ◽

Author(s):

Zhao Wenxiang ◽

Li Handong

Keyword(s):

Covariance Matrix ◽

Realized Covariance ◽

Forecasting Volatility

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Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies

Economic Modelling ◽

10.1016/j.econmod.2021.105699 ◽

2021 ◽

pp. 105699

Author(s):

Hui Qu ◽

Yi Zhang

Keyword(s):

Covariance Matrix ◽

Realized Covariance ◽

Volatility Timing ◽

Timing Strategies

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Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio

Applied Economics Letters ◽

10.1080/13504851.2018.1489108 ◽

2018 ◽

Vol 26 (8) ◽

pp. 661-668 ◽

Author(s):

Hee-Soo Kim ◽

Dong Wan Shin

Keyword(s):

Covariance Matrix ◽

Asymptotic Distribution ◽

Minimum Variance ◽

Lu Decomposition ◽

Realized Covariance ◽

Minimum Variance Portfolio

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Estimability of parameters of the covariance matrix and variance components

Optimization ◽

10.1080/02331937408842190 ◽

1974 ◽

Vol 5 (3) ◽

pp. 245-248

Author(s):

R. Pincus

Keyword(s):

Covariance Matrix ◽

Variance Components

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Testing and Estimation When a Normal Covariance Matrix Has Intraclass Structure of Arbitrary Order

Communications in Statistics - Simulation and Computation ◽

10.1080/03610917408548385 ◽

1974 ◽

Vol 3 (4) ◽

pp. 343-359

Author(s):

G. S. Rogers ◽

D. L. Young

Keyword(s):

Covariance Matrix ◽

Arbitrary Order

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Some Likelihood Ratio Tests When a Normal Covariance Matrix Has Certain Reducible Linear Structures

Communications in Statistics - Simulation and Computation ◽

10.1080/03610917508548472 ◽

1975 ◽

Vol 4 (6) ◽

pp. 537-554

Author(s):

G. S. Rogers ◽

D. L. Young

Keyword(s):

Covariance Matrix ◽

Likelihood Ratio ◽

Likelihood Ratio Tests ◽

Linear Structures

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Spatial Spoofing Signal Suppression Using the Constellation Covariance Matrix

Proceedings of the 29th International Technical Meeting of The Satellite Division of the Institute of Navigation (ION GNSS+ 2016) ◽

10.33012/2016.14783 ◽

2016 ◽

Author(s):

L. Kurz ◽

S. Zorn ◽

T.G. Noll

Keyword(s):

Covariance Matrix ◽

Signal Suppression

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SPATIAL SELECTION OF WIDE-BAND SOURCES BY COVARIANCE MATRIX EIGENVALUES

Telecommunications and Radio Engineering ◽

10.1615/telecomradeng.v73.i9.40 ◽

2014 ◽

Vol 73 (9) ◽

pp. 793-801

Author(s):

O. V. Sytnik ◽

V. M. Kartashov ◽

A.A. Suprun

Keyword(s):

Covariance Matrix ◽

Wide Band ◽

Spatial Selection ◽

Matrix Eigenvalues ◽

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A Cumulative Sum Algorithm for Detecting Changes in the Covariance Matrix of Multidimensional Time Series

Vestnik MEI ◽

10.24160/1993-6982-2020-3-92-101 ◽

2020 ◽

Vol 3 (3) ◽

pp. 92-101

Author(s):

Gennadiy F. Filaretov ◽

◽

Pavel S. Simonenkov ◽

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Cumulative Sum ◽

Multidimensional Time Series

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Faculty Opinions recommendation of A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics.

Faculty Opinions – Post-Publication Peer Review of the Biomedical Literature ◽

10.3410/f.718350670.793493808 ◽

2014 ◽

Author(s):

Zdeněk Valenta

Keyword(s):

Functional Genomics ◽

Covariance Matrix ◽

Large Scale ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Scale Covariance

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Faculty Opinions recommendation of Accounting for Mutation Effects in the Additive Genetic Variance-Covariance Matrix and Its Inverse.

Faculty Opinions – Post-Publication Peer Review of the Biomedical Literature ◽

10.3410/f.727871506.793534900 ◽

2017 ◽

Author(s):

Charles Baer

Keyword(s):

Covariance Matrix ◽

Genetic Variance ◽

Additive Genetic Variance ◽

Variance Covariance Matrix

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