Eran Raviv10/20/2015

Multivariate volatility forecasting (4), factor models

Eran Raviv
To be instructive, I always use very few tickers to describe how a method works (and this tutorial is no different). Most of the time is spent on methods that we can easily scale up. Even if exemplified using only say 3 tickers, a more realistic 100 or 500 is not an obstacle. But, is...