High-dimensional minimum variance portfolio estimation based on high-frequency data
T. Tony Cai, Jianchang Hu, Yingying Li, Xinghua Zheng
| Year of publication: |
2020
|
|---|---|
| Authors: | Cai, T. Tony ; Hu, Jianchang ; Li, Yingying ; Zheng, Xinghua |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 214.2020, 2, p. 482-494
|
| Subject: | CLIME estimator | High dimension | High frequency | Minimum variance portfolio | Precision matrix | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.04.039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012439068