Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Year of publication: |
2024
|
---|---|
Authors: | Jiang, Binyan ; Liu, Cheng ; Tang, Cheng Yong |
Subject: | dynamic covariance estimation | global minimal-variance sparse portfolio | high-dimensional data analysis | high-frequency data analysis | measurement errors | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Statistischer Fehler | Statistical error | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
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