Estimation and application study on the large dimensional covariance matrix of mixed-frequency data

MaRDI QIDQ4641060zbMATH OpenFDO

Authors L. Liu

Publication date 25 May 2018

zbMATH Keywords

large covariance matrixMFD modelmixed-frequency data

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to economics (62P20)

Recommendations

• scientific article; zbMATH DE number 6719853
• Comparison among high dimensional covariance matrix estimation methods
• Minimum variance portfolio estimation from high-dimensional and high-frequency perspective
• Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations
• High dimensional covariance matrix estimation using a factor model

Cited in

(4)

• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
• Comparison among high dimensional covariance matrix estimation methods
• Estimation of high dimensional portfolio risk
• High-dimensional copula-based distributions with mixed frequency data

This page was built for publication: Estimation and application study on the large dimensional covariance matrix of mixed-frequency data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4641060)