A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581): Difference between revisions
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Revision as of 20:17, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data |
scientific article |
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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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