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14-147/III - Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice


  • Authors
    Laurent Callot, VU University Amsterdam, the Netherlands; Anders B. Kock, Aarhus University, Denmark; Marcelo C. Medeiros, Pontifical Catholic University of Rio de Janeiro, Brasil
  • Publication date
    November 13, 2014
  • Keywords
    Realized covariance, vector autoregression, shrinkage, Lasso, forecasting, portfolio allocation
  • JEL
    C22