[Statlist] Next talk: Friday, 11.05.2018, with Marcelo Cunha, Medeiros Pontifical Catholic University of Rio de Janeiro

[Maurer Letizia]

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ETH and University of Zurich

Organisers:

Proff. P. Bühlmann - L. Held - T. Hothorn - M. Maathuis -
N. Meinshausen - S. van de Geer - M. Wolf

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We are glad to announce the following talk:

Friday, 11.05.2018, at 15.15 h  ETH Zurich HG G19.1
with Marcelo Cunha, Medeiros Pontifical Catholic University of Rio de Janeiro

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Title:

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage <https://www.math.ethz.ch/sfs/news-and-events/research-seminar.html?s=fs18#e_11434>

Abstract:

We propose a model to forecast very large realized covariance matrices of returns, applying it to the constituents of the S&P 500 on a daily basis. To address the curse of dimensionality, we decompose the return covariance matrix using standard firm-level factors (e.g., size, value and profitability) and use sectoral restrictions in the residual covariance matrix. This restricted model is then estimated using vector heterogeneous autoregressive (VHAR) models estimated with the least absolute shrinkage and selection operator (LASSO). Our methodology improves forecasting precision relative to standard benchmarks and leads to better estimates of the minimum variance portfolios.

This abstract is also to be found under the following link: http://stat.ethz.ch/events/research_seminar

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