A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data

Clifford Lam, Phoenix Feng

Year of publication:	2018
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
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

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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

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