Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology
Year of publication: |
2009-12
|
---|---|
Authors: | Elvira, Mancino Maria ; Sanfelici, Simona |
Institutions: | Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze |
Subject: | nonparametric covariance estimation | non-synchronicity | microstructure | optimal portfolio choice | Fourier analysis |
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