High-dimensional realized covariance estimation: a parametric approach

DOI10.1080/14697688.2022.2111267OpenAlexW4293765021MaRDI QIDQ5051983

G. Mboussa Anga, Giuseppe Buccheri

Publication date: 18 November 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2111267

zbMATH Keywords

risk managementhigh-dimensionsrealized covarianceepps effect

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

When to efficiently rebalance a portfolio

Cites Work

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