On the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis
Author:
Funder
Ministero dell’Istruzione, dell’Università e della Ricerca
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10479-024-06030-4.pdf
Reference60 articles.
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4. Batten, J. A., Choudhury, T., Kinateder, H., & Wagner, N. F. (2022). Volatility impacts on the European banking sector: GFC and COVID-19. Annals of Operations Research, 330(1–2), 335–360. https://doi.org/10.1007/s10479-022-04523-8
5. Bauwens, L., Braione, M., & Storti, G. (2017). A dynamic component model for forecasting high-dimensional realized covariance matrices. Econometrics and Statistics, 1, 40–61. https://doi.org/10.1016/j.ecosta.2016.09.003
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