Do high-frequency data improve high-dimensional portfolio allocations?
Nikolaus Hautsch, Lada M. Kyj and Peter Malec
| Year of publication: |
2015
|
|---|---|
| Authors: | Hautsch, Nikolaus ; Kyj, Lada M. ; Malec, Peter |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 30.2015, 2, p. 263-290
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| Subject: | portfolio optimization | spectral decomposition | regularization | blocked realized kernel | covariance prediction | Theorie | Theory | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011327609