Incorporating global industrial classification standard into portfolio allocation : a simple factor-based large covariance matrix : estimator with high-frequency data
Jianqing Fan, Alex Furger, Dacheng Xiu
| Year of publication: |
October 2016
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| Authors: | Fan, Jianqing ; Furger, Alex ; Xiu, Dacheng |
| 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. 489-503
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| Subject: | Big data | Concentration inequality | GICS | High-frequency factor model | Location-based thresholding | Low rank plus sparse | Positive-definite | Precision matrix | SDPR sector ETF's | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Big Data | Faktorenanalyse | Factor analysis | Indexderivat | Index derivative |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1052458 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011692389