Statistik und Ökonometrie - Prof. Dr. Melanie Schienle

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

  • Abstract