Large dynamic covariance matrices: Enhancements based on intraday data
Year of publication: |
2020
|
---|---|
Authors: | De Nard, Gianluca ; Engle, Robert F. ; Ledoit, Olivier ; Wolf, Michael |
Publisher: |
Zurich : University of Zurich, Department of Economics |
Subject: | dynamic conditional correlations | intraday data | Markowitz portfolio selection | multivariate GARCH | nonlinear shrinkage |
Series: | Working Paper ; 356 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5167/uzh-188753 [DOI] 1725932830 [GVK] hdl:10419/222571 [Handle] |
Classification: | C13 - Estimation ; c58 ; G11 - Portfolio Choice |
Source: |
-
Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca, (2022)
-
Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca, (2021)
-
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca, (2022)
- More ...
-
Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca, (2022)
-
Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca, (2021)
-
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca, (2022)
- More ...