Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage
Marcelo Cunha Medeiros (PUC Rio de Janeiro, Brasil)
- Seminars Econometric Institute
Marcelo Cunha Medeiros (PUC Rio de Janeiro, Brasil)
Huyen Nguyen (Erasmus University Rotterdam)
Douglas DeJong (University of Iowa, United States)
Thorsten V. Koeppl (Queen's University, Canada)
Yan Xu
Adrian Chadi (University of Konstanz, Germany)
Anna Baiardi (University of Bonn, Germany)
Michael Kosfeld (Goethe University Frankfurt, Germany)
Michael Gong (Erasmus University Rotterdam)
Abhijeet Singh (Stockholm School of Economics, Sweden)
Dominik Sachs (LMU MĂĽnchen, Germany)
Aki Tsuchiya (Sheffield University, United Kingdom)
Alex Imas (The University of Chicago, United States) and Kristof Madarasz (London School of Economics, United Kingdom)
Yiqing Lu (NYU Shanghai, United States)
Albert Jan Hummel (Erasmus University Rotterdam)
Seema Jayachandran (Northwestern University, United States)
Philip Cook (Duke University, United States)
Takashi Yamagata (York University, Canada)
Kewei Hou (Ohio State University, United States)
Nicolas Treich (Toulouse School of Economics, France)