Papailias, Fotis; Thomakos, Dimitrios - In: Financial Markets and Portfolio Management 29 (2015) 1, pp. 31-59
<Para ID="Par3">We propose a new method for estimating the covariance matrix of a multivariate time series of financial returns. The method is based on estimating sample covariances from overlapping windows of observations which are then appropriately weighted to obtain the final covariance estimate. We extend...</para>
