A regularized high-dimensional positive definite covariance estimator with high-frequency data
Liyuan Cui, Yongmiao Hong, Yingxing Li, Junhui Wang
| Year of publication: |
2024
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|---|---|
| Authors: | Cui, Liyuan ; Hong, Yongmiao ; Li, Yingxing ; Wang, Junhui |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 70.2024, 10, p. 7242-7264
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| Subject: | covariance estimation | high frequency | large dimension | nuclear norm | vast portfolio evaluation | weak factors | weighted group-LASSO | Korrelation | Correlation | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Elektronisches Handelssystem | Electronic trading | Faktorenanalyse | Factor analysis | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2022.04138 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015143872