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Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns

Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns
Tagungsort:

Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010

Datum:

December 18th, 2017

Referent:

Roman Liesenfeld (University of Cologne)

Zeit:

13:30 - 14:30