Evaluating large dynamic covariance matrix and volatility forecasts for the S&P 500 constituents

Additional Metadata
Keywords	Dynamic forecasting; Volatility; Covariance matrix; High-dimensional; DCC-NL; OHLC price data; GMV portfolios
Thesis Advisor	Kleen, O.
Persistent URL	hdl.handle.net/2105/59440
Series	Econometrie
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Klein, D.S. (2021, September 14). Evaluating large dynamic covariance matrix and volatility forecasts for the S&P 500 constituents. Econometrie. Retrieved from http://hdl.handle.net/2105/59440

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