Finding the nearest covariance matrix : the foreign exchange market case
Aleksey Minabutdinov, Ilya Manaev and Maxim Bouev
| Year of publication: |
2020
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|---|---|
| Authors: | Minabutdinov, Aleksey ; Manaev, Ilya ; Bouev, Maxim |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2020, 2, p. 103-127
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| Subject: | nearest covariance matrix | dimensionality reduction | foreign exchange | currency triangles | Black-Scholes model | Devisenmarkt | Foreign exchange market | Korrelation | Correlation | Schätztheorie | Estimation theory | Wechselkurs | Exchange rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.396 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012543624