Münnix, M.C.; Schäfer, R.; Grothe, O. - In: Quantitative Finance 14 (2014) 5, pp. 931-939
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for the similarity of previous market conditions to the present situation. The resulting estimators are less biased and show lower...