An Improved DCC Model Based on Large-Dimensional Covariance Matrices Estimation and Its Applications
The covariance matrix estimation plays an important role in portfolio optimization and risk management. It is well-known that portfolio is essentially a convex quadratic programming problem, which is also a special case of symmetric cone optimization. Accurate covariance matrix estimation will lead...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-04-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/15/4/953 |