Jan Patrick Hartkopf
Biographic Data
| ID | 9613609 |
|---|---|
| NAME | Jan Patrick Hartkopf |
| GIVEN NAMES | Jan Patrick |
| FAMILY NAME | Hartkopf |
| SIGNATURE | HARTKOPF J P |
| AFFILIATIONS | University of Cologne |
| ORCID | 0000-0002-3704-1856 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2023 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
We propose a dynamic factor state-space model for the prediction of high-dimensional realized covariance matrices of asset returns. Using a block LDL decomposition of the joint covariance matrix of assets and factors, we express the realized covariance matrix of the individual assets similar to an approximate factor model. We model the individual parts, i.e., the factor and residual covariances as well as the factor loadings, independently via a …
No prominent works on this page.
Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
We propose a dynamic factor state-space model for the prediction of high-dimensional realized covariance matrices of asset returns. Using a block LDL decomposition of the joint covariance matrix of assets and factors, we express the realized covariance matrix of the individual assets similar to an approximate factor model. We model the individual parts, i.e., the factor and residual covariances as well as the factor loadings, independently via a …
Algorithm (1 work) · Applied Mathematics (1 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Covariance (1 work) · Covariance matrix (1 work) · Diagonal (1 work) · Econometrics (1 work) · Economics (1 work) · Factor analysis (1 work)