Engle, Robert F.; Shephard, Neil G.; Sheppard, Kevin - 2008
.sheppard@economics.ox.ac.uk
September 24, 2008
Abstract
Building models for high dimensional portfolios is important in risk management and asset
allocation … management. Typically this is carried out by calculating the sample covariance
matrix based on the last 100 or 250 days of data … quite restrictive
since the diversity of correlations is often the key to risk management.
The RiskMetrics estimator of the …