Dynamic covariance matrix estimation and portfolio analysis with high-frequency data

Binyan Jiang, Cheng Liu and Cheng Yong Tang

Year of publication:	2024
Authors:	Jiang, Binyan ; Liu, Cheng ; Tang, Cheng Yong
Published in:	Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 2, p. 461-491
Subject:	dynamic covariance estimation \| global minimal-variance sparse portfolio \| high-dimensional data analysis \| high-frequency data analysis \| measurement errors \| Portfolio-Management \| Portfolio selection \| Korrelation \| Correlation \| Volatilität \| Volatility \| Kapitaleinkommen \| Capital income \| Schätztheorie \| Estimation theory \| Statistischer Fehler \| Statistical error \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation \| Momentenmethode \| Method of moments \| Varianzanalyse \| Analysis of variance

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1093/jjfinec/nbad003 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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