Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Asger Lunde, Neil Shephard, Kevin Sheppard
| Year of publication: |
October 2016
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|---|---|
| Authors: | Lunde, Asger ; Shephard, Neil G. ; Sheppard, Kevin |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 4, p. 504-518
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| Subject: | Disciplined convex optimization | High-frequency data | Market frictions | Minimum variance portfolio | Realized kernel | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Korrelation | Correlation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1064432 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011692391