A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581): Difference between revisions

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Latest revision as of 13:15, 10 October 2024

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A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
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    A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (English)
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    29 August 2018
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    high frequency data
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    microstructure noise
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    non-synchronous trading
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    integrated covariance matrix
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    minimum variance portfolio
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    nonlinear shrinkage
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