Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 신동완 | * |
dc.date.accessioned | 2019-02-15T16:30:03Z | - |
dc.date.available | 2019-02-15T16:30:03Z | - |
dc.date.issued | 2019 | * |
dc.identifier.issn | 1350-4851 | * |
dc.identifier.issn | 1466-4291 | * |
dc.identifier.other | OAK-24352 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/248359 | - |
dc.description.abstract | We derive the asymptotic distribution for the LU decomposition, that is, the Cholesky decomposition, of realized covariance matrix. Distributional properties are combined with an existing generalized heterogeneous autoregressive (GHAR) method for forecasting realized covariance matrix, which will be referred to as a generalized HARQ (GHARQ) method. An out-of-sample forecast comparison of a real data set shows that the proposed GHARQ method outperforms other existing methods in terms of optimizing the variances of portfolios. | * |
dc.language | English | * |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & | * |
dc.publisher | FRANCIS LTD | * |
dc.subject | Cholesky decomposition | * |
dc.subject | realized covariance | * |
dc.subject | LU decomposition | * |
dc.subject | GHAR | * |
dc.subject | minimum variance portfolio | * |
dc.subject | portfolio optimization | * |
dc.title | Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio | * |
dc.type | Article | * |
dc.relation.issue | 8 | * |
dc.relation.volume | 26 | * |
dc.relation.index | SSCI | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | 661 | * |
dc.relation.lastpage | 668 | * |
dc.relation.journaltitle | APPLIED ECONOMICS LETTERS | * |
dc.identifier.doi | 10.1080/13504851.2018.1489108 | * |
dc.identifier.wosid | WOS:000457468600008 | * |
dc.identifier.scopusid | 2-s2.0-85049150354 | * |
dc.author.google | Kim, Hee-Soo | * |
dc.author.google | Shin, Dong Wan | * |
dc.contributor.scopusid | 신동완(7403352539) | * |
dc.date.modifydate | 20240116115756 | * |