Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.109465
Abstract: Abstract We apply the factor approach to the correlation matrix to forecast large covariance matrix of asset returns using high-frequency data, using the principal component method to model the underlying latent factors of the correlation… read more here.
Keywords: matrix; correlation matrix; large covariance; covariance matrix ... See more keywords
A Safety Factor Approach to Designing Urban Infrastructure for Dynamic Conditions
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DOI: 10.1029/2021ef002118
Abstract: Current approaches to design floodâsensitive infrastructure typically assume a stationary rainfall distribution and neglect many uncertainties. These assumptions are inconsistent with observations that suggest intensifying extreme precipitation events and the uncertainties surrounding projections of the… read more here.
Keywords: designing urban; approach designing; infrastructure; factor approach ... See more keywords
Direct matching between the flow factor approach model and molecular dynamics simulation for nanochannel flows
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DOI: 10.1038/s41598-021-04391-5
Abstract: Mathematically formulating nanochannel flows is challenging. Here, the values of the characteristic parameters were extracted from molecular dynamics simulation (MDS), and directly input to the closed-form explicit flow factor approach model (FFAM) for nanochannel flows.… read more here.
Keywords: factor approach; flow factor; nanochannel; nanochannel flows ... See more keywords