A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764): Difference between revisions

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+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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+High dimensional covariance matrix estimation using a factor model
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+Vast Portfolio Selection With Gross-Exposure Constraints
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+Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
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+Estimating covariation: Epps effect, microstructure noise
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+A Tale of Two Time Scales
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