A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Clifford Lam, Phoenix Feng
| Year of publication: |
2018
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|---|---|
| Authors: | Lam, Clifford ; Feng, Phoenix |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 206.2018, 1, p. 226-257
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| Subject: | High frequency data | Integrated covariance matrix | Microstructure noise | Minimum variance portfolio | Non-synchronous trading | Nonlinear shrinkage | Schätztheorie | Estimation theory | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Kapitaleinkommen | Capital income | Marktmikrostruktur | Market microstructure | Nichtparametrisches Verfahren | Nonparametric statistics | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.06.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012110378