Joint Econometrics-Finance Seminar: Marcelo C. Medeiros, Pontifical Catholic University of Rio de Janeiro

Title: Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage

2017.12.18 | Bodil Krog

Date Tue 15 May
Time 11:00 12:00
Location Fuglesangs Allé 4, 8210 Aarhus V, building 2630(K), room 101

Presenter: Marcelo C. Medeiros, Pontifical Catholic University of Rio de Janeiro

Title: Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage

Area of Research: Financial/time-series econometrics, machine learning

Organizers: Shin Kanaya and Agatha Murgoci

Econometrics and Business Statistics Seminar Series, Accounting and Finance Seminar Series