On Optimal Covariance Matrix Shrinkage Levels in Forecast Combination - researchr publication related

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Thomas Setzer, Marco Fuchs. On Optimal Covariance Matrix Shrinkage Levels in Forecast Combination. In 19th International Conference on Wirtschaftsinformatik (WI 2024), Würzburg, Germany, September 16-19, 2024, Proceedings. pages 13, AISeL, 2024. [doi]

The following publications are possibly variants of this publication:

Machine-Learning-Based Determination of Steinian Shrinkage Targets and Levels in Forecast CombinationMarco Fuchs, Thomas Setzer. or 2025: 60-65 [doi]

Linear Hybrid Shrinkage of Weights for Forecast Selection and CombinationFelix Schulz, Thomas Setzer, Nathalie Balla. hicss 2022: 1-10 [doi]

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