As part of the conference, Prof. Dr. Setzer and Marco Fuchs presented a current research project:
"On Optimal Covariance Matrix Shrinkage Levels in Forecast Combination": In this paper, Thomas Setzer and Marco Fuchs examine the optimal shrinkage levels of the empirical variance-covariance matrix in forecast combination scenarios. The study emphasizes the need for specific methods to accurately determine these levels and provides valuable theoretical and practical implications for the advancement of forecasting models.
We extend our heartfelt thanks to Julius Maximilian University and the academic community for the excellent organization and fruitful exchange!