Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Binyan Jiang, Cheng Liu and Cheng Yong Tang
| Year of publication: |
2024
|
|---|---|
| Authors: | Jiang, Binyan ; Liu, Cheng ; Tang, Cheng Yong |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 2, p. 461-491
|
| Subject: | dynamic covariance estimation | global minimal-variance sparse portfolio | high-dimensional data analysis | high-frequency data analysis | measurement errors | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Statistischer Fehler | Statistical error | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014526333