Hafner, Christian M.; Linton, Oliver; Tang, Haihan - 2016
We consider a Kronecker product structure for large covariance matrices, which has the feature that the number of free … based on the log linear property of this structure, and also a Quasi-Likelihood method. We establish the rate of convergence … method to portfolio choice for S&P500 daily returns and compare with sample covariance based methods and with the recent Fan …