Supplementary Appendix to Beta-Adjusted Covariance Estimation

In this supplementary appendix, we first provide a brief R and Python tutorial for the proposed BAC estimator. Then, we describe the implementation of the BAC estimator in case of microstructure noise and jumps. We further present more detailed empirical results for the BAC estimation applied to the XLF ETF components. Finally, we provide additional proofs for results presented in the main paper

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Year of publication:	[2021]
Authors:	Boudt, Kris ; Dragun, Kirill ; Sauri, Orimar ; Vanduffel, Steven
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Korrelation \| Correlation \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 6, 2021 erstellt
Other identifiers:	10.2139/ssrn.3799004 [DOI]
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c58
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013233548