A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Year of publication: |
2022
|
---|---|
Authors: | Sun, Yucheng ; Xu, Wen |
Subject: | Portfolio selection | High-dimensional covariance matrix | Principal orthogonal complement thresholding estimator | Principle component analysis | Realized kernels | Schätztheorie | Estimation theory | Korrelation | Correlation | Portfolio-Management | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance |
Description of contents: | Description [tandfonline.com] |
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