Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Year of publication: |
October 2016
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Authors: | Lunde, Asger ; Shephard, Neil G. ; Sheppard, Kevin |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 4, p. 504-518
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Subject: | Disciplined convex optimization | High-frequency data | Market frictions | Minimum variance portfolio | Realized kernel | Theorie | Theory | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Korrelation | Correlation | Kapitaleinkommen | Capital income |
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