Parsimonious modeling of high-dimensional realized correlation matrices via compression and shrinkage
Xia Zou , Xia Zou
- Research Master Defense
Xia Zou , Xia Zou
Sahar Sangi , Sahar Sangi
Ilse van der Voort , Elisabeth van der Voort
Walter Verwer , Walter Verwer
Niels Marijnen , Niels Marijnen
Kieran Marray , Kieran Marray
Sander de Vries , Sander de Vries
Sindri Engilbertsson , Sindri Engilbertsson
Stanislav Avdeev , Stanislav Avdeev
Evgenii Ivanov , Evgenii Ivanov
Cristina Figueroa , Cristina Figueroa
Paloma Assuncao , Paloma de Melo Assuncao
Faculty: Cars Hommes (University of Amsterdam and Tinbergen Institute)
Faculty: Siem Jan Koopman (Vrije Universiteit Amsterdam and Tinbergen Institute) and Francisco Blasques (Vrije Universiteit Amsterdam and Tinbergen Institute)
Faculty: Eric Bartelsman (Vrije Universiteit Amsterdam, Tinbergen Institute, IZA), Jan De Loecker (KU Leuven, NBER, CEPR), and Jo Van Biesebroeck (KU Leuven, CEPR)
Faculty: Aysu Okbay, Ronald de Vlaming, and Hermon Kweon, all affiliated to Vrije Universiteit Amsterdam and Tinbergen Institute
Shyam Sunder (Yale University, United States)
Alexander Ludwig (Goethe University Frankfurt, Germany)
Charles Kahn (University of Illinois Urbana-Champaign, United States)
Pim Kastelein , Pim Kastelein