Fitting vast dimensional time-varying covariance models.
Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel and fast way of estimating models of time-varying covariances that overcome an undiagnosed incidental parameter problem which has troubled existing methods when applied to hu...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Oxford-Man Institute of Quantitative Finance
2008
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