Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data

Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data

This paper examines the usefulness of high frequency data in estimating the covariancematrix for portfolio choice when the portfolio size is large. A computationally convenientnonlinear shrinkage estimator for the integrated covariance (ICV) matrix of financial as-sets is developed in two steps. The...

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書目詳細資料
Main Authors:	LIU, Cheng, XIA, Ningning, Jun YU
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2016
主題:	Portfolio Choice High Frequency Data; Integrated Covariance Matrix; Shrinkage Function. Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1892 https://ink.library.smu.edu.sg/context/soe_research/article/2892/viewcontent/9983285.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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