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- W2810271256 abstract "We derive the asymptotic distribution for the LU decomposition, that is, the Cholesky decomposition, of realized covariance matrix. Distributional properties are combined with an existing generalized heterogeneous autoregressive (GHAR) method for forecasting realized covariance matrix, which will be referred to as a generalized HARQ (GHARQ) method. An out-of-sample forecast comparison of a real data set shows that the proposed GHARQ method outperforms other existing methods in terms of optimizing the variances of portfolios." @default.
- W2810271256 created "2018-07-10" @default.
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- W2810271256 date "2018-06-29" @default.
- W2810271256 modified "2023-10-02" @default.
- W2810271256 title "Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio" @default.
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- W2810271256 doi "https://doi.org/10.1080/13504851.2018.1489108" @default.
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