Network Linear Covariance Models
The study uses GNAR models to forecast the realized covariance matrix of a subset of S&P 500 stocks, reducing forecasting errors during volatile trading days.
Featured in No. 84 on 5 Feb 2025 · 8 days after release
- Released
- 28 Jan 2025
- First featured
- No. 84 · 5 Feb 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 21
- Identifier
- SSRN 5113698
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).