Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
Abstract 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 simila...
Ausführliche Beschreibung
Autor*in: |
Hartkopf, Jan Patrick [verfasserIn] |
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Format: |
E-Artikel |
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Sprache: |
Englisch |
Erschienen: |
2022 |
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Schlagwörter: |
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Anmerkung: |
© The Author(s) 2022. corrected publication 2022 |
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Übergeordnetes Werk: |
Enthalten in: Empirical economics - Berlin : Springer, 1976, 64(2022), 1 vom: 05. Mai, Seite 393-436 |
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Übergeordnetes Werk: |
volume:64 ; year:2022 ; number:1 ; day:05 ; month:05 ; pages:393-436 |
Links: |
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DOI / URN: |
10.1007/s00181-022-02245-1 |
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Katalog-ID: |
SPR049419676 |
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520 | |a Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds. | ||
650 | 4 | |a Factor model |7 (dpeaa)DE-He213 | |
650 | 4 | |a Realized covariance |7 (dpeaa)DE-He213 | |
650 | 4 | |a State-space model |7 (dpeaa)DE-He213 | |
650 | 4 | |a Composite prediction |7 (dpeaa)DE-He213 | |
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10.1007/s00181-022-02245-1 doi (DE-627)SPR049419676 (SPR)s00181-022-02245-1-e DE-627 ger DE-627 rakwb eng Hartkopf, Jan Patrick verfasserin (orcid)0000-0002-3704-1856 aut Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2022. corrected publication 2022 Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds. Factor model (dpeaa)DE-He213 Realized covariance (dpeaa)DE-He213 State-space model (dpeaa)DE-He213 Composite prediction (dpeaa)DE-He213 Enthalten in Empirical economics Berlin : Springer, 1976 64(2022), 1 vom: 05. Mai, Seite 393-436 (DE-627)254631193 (DE-600)1462176-9 1435-8921 nnns volume:64 year:2022 number:1 day:05 month:05 pages:393-436 https://dx.doi.org/10.1007/s00181-022-02245-1 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 64 2022 1 05 05 393-436 |
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10.1007/s00181-022-02245-1 doi (DE-627)SPR049419676 (SPR)s00181-022-02245-1-e DE-627 ger DE-627 rakwb eng Hartkopf, Jan Patrick verfasserin (orcid)0000-0002-3704-1856 aut Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2022. corrected publication 2022 Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds. Factor model (dpeaa)DE-He213 Realized covariance (dpeaa)DE-He213 State-space model (dpeaa)DE-He213 Composite prediction (dpeaa)DE-He213 Enthalten in Empirical economics Berlin : Springer, 1976 64(2022), 1 vom: 05. Mai, Seite 393-436 (DE-627)254631193 (DE-600)1462176-9 1435-8921 nnns volume:64 year:2022 number:1 day:05 month:05 pages:393-436 https://dx.doi.org/10.1007/s00181-022-02245-1 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 64 2022 1 05 05 393-436 |
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10.1007/s00181-022-02245-1 doi (DE-627)SPR049419676 (SPR)s00181-022-02245-1-e DE-627 ger DE-627 rakwb eng Hartkopf, Jan Patrick verfasserin (orcid)0000-0002-3704-1856 aut Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2022. corrected publication 2022 Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds. Factor model (dpeaa)DE-He213 Realized covariance (dpeaa)DE-He213 State-space model (dpeaa)DE-He213 Composite prediction (dpeaa)DE-He213 Enthalten in Empirical economics Berlin : Springer, 1976 64(2022), 1 vom: 05. Mai, Seite 393-436 (DE-627)254631193 (DE-600)1462176-9 1435-8921 nnns volume:64 year:2022 number:1 day:05 month:05 pages:393-436 https://dx.doi.org/10.1007/s00181-022-02245-1 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 64 2022 1 05 05 393-436 |
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10.1007/s00181-022-02245-1 doi (DE-627)SPR049419676 (SPR)s00181-022-02245-1-e DE-627 ger DE-627 rakwb eng Hartkopf, Jan Patrick verfasserin (orcid)0000-0002-3704-1856 aut Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2022. corrected publication 2022 Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds. Factor model (dpeaa)DE-He213 Realized covariance (dpeaa)DE-He213 State-space model (dpeaa)DE-He213 Composite prediction (dpeaa)DE-He213 Enthalten in Empirical economics Berlin : Springer, 1976 64(2022), 1 vom: 05. Mai, Seite 393-436 (DE-627)254631193 (DE-600)1462176-9 1435-8921 nnns volume:64 year:2022 number:1 day:05 month:05 pages:393-436 https://dx.doi.org/10.1007/s00181-022-02245-1 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 64 2022 1 05 05 393-436 |
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10.1007/s00181-022-02245-1 doi (DE-627)SPR049419676 (SPR)s00181-022-02245-1-e DE-627 ger DE-627 rakwb eng Hartkopf, Jan Patrick verfasserin (orcid)0000-0002-3704-1856 aut Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2022. corrected publication 2022 Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds. Factor model (dpeaa)DE-He213 Realized covariance (dpeaa)DE-He213 State-space model (dpeaa)DE-He213 Composite prediction (dpeaa)DE-He213 Enthalten in Empirical economics Berlin : Springer, 1976 64(2022), 1 vom: 05. Mai, Seite 393-436 (DE-627)254631193 (DE-600)1462176-9 1435-8921 nnns volume:64 year:2022 number:1 day:05 month:05 pages:393-436 https://dx.doi.org/10.1007/s00181-022-02245-1 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 64 2022 1 05 05 393-436 |
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Enthalten in Empirical economics 64(2022), 1 vom: 05. Mai, Seite 393-436 volume:64 year:2022 number:1 day:05 month:05 pages:393-436 |
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Enthalten in Empirical economics 64(2022), 1 vom: 05. Mai, Seite 393-436 volume:64 year:2022 number:1 day:05 month:05 pages:393-436 |
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Hartkopf, Jan Patrick @@aut@@ |
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Hartkopf, Jan Patrick |
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Hartkopf, Jan Patrick misc Factor model misc Realized covariance misc State-space model misc Composite prediction Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models |
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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models Factor model (dpeaa)DE-He213 Realized covariance (dpeaa)DE-He213 State-space model (dpeaa)DE-He213 Composite prediction (dpeaa)DE-He213 |
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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models |
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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models |
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composite forecasting of vast-dimensional realized covariance matrices using factor state-space models |
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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models |
abstract |
Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds. © The Author(s) 2022. corrected publication 2022 |
abstractGer |
Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds. © The Author(s) 2022. corrected publication 2022 |
abstract_unstemmed |
Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds. © The Author(s) 2022. corrected publication 2022 |
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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">SPR049419676</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230510060625.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">230227s2022 xx |||||o 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/s00181-022-02245-1</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)SPR049419676</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(SPR)s00181-022-02245-1-e</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Hartkopf, Jan Patrick</subfield><subfield code="e">verfasserin</subfield><subfield code="0">(orcid)0000-0002-3704-1856</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2022</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">© The Author(s) 2022. corrected publication 2022</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Abstract 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 tractable state-space approach. This results in closed-form Matrix-F predictive densities for the distinct covariance elements and Student’s t predictive densities for the factor loadings. In an out-of-sample forecasting and portfolio selection exercise we compare the performance of the proposed factor model under different specifications of the residual dynamics. These includes block diagonal residuals based on the GICS sector classifications and strict diagonality assumptions as well as combinations of both using linear shrinkage. We find that the proposed model performs very well in an empirical application to realized covariance matrices for 225 NYSE-traded stocks using the well-known Fama–French factors and sector-specific factors represented by exchange traded funds.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Factor model</subfield><subfield code="7">(dpeaa)DE-He213</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Realized covariance</subfield><subfield code="7">(dpeaa)DE-He213</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">State-space model</subfield><subfield code="7">(dpeaa)DE-He213</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Composite prediction</subfield><subfield code="7">(dpeaa)DE-He213</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Empirical economics</subfield><subfield code="d">Berlin : Springer, 1976</subfield><subfield code="g">64(2022), 1 vom: 05. Mai, Seite 393-436</subfield><subfield code="w">(DE-627)254631193</subfield><subfield code="w">(DE-600)1462176-9</subfield><subfield code="x">1435-8921</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:64</subfield><subfield code="g">year:2022</subfield><subfield code="g">number:1</subfield><subfield code="g">day:05</subfield><subfield code="g">month:05</subfield><subfield code="g">pages:393-436</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://dx.doi.org/10.1007/s00181-022-02245-1</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_SPRINGER</subfield></datafield><datafield tag="912" ind1=" 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