Large dynamic covariance matrices : enhancements based on intraday data
Gianluca De Nard, Robert F. Engle, Olivier Ledoit, Michael Wolf
| Year of publication: |
2022
|
|---|---|
| Authors: | De Nard, Gianluca ; Engle, Robert F. ; Ledoit, Olivier ; Wolf, Michael |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 138.2022, p. 1-16
|
| Subject: | Dynamic conditional correlations | Intraday data | Markowitz portfolio selection | Multivariate GARCH | Nonlinear shrinkage | Korrelation | Correlation | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2022.106426 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013461761