A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
DOI10.1016/J.JECONOM.2018.06.001zbMATH Open1398.62311OpenAlexW2809550729WikidataQ129609077 ScholiaQ129609077MaRDI QIDQ1668581FDOQ1668581
Authors: Clifford Lam, Phoenix Feng 
Publication date: 29 August 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/88375/
Recommendations
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- Non-parametric inference on risk measures for integrated returns
- scientific article; zbMATH DE number 1215454
- Eigenvalue Estimation of Parameterized Covariance Matrices of Large Dimensional Data
- Some estimators of covariance matrix in multivariate nonparametric regression and their applications
- Nonlinear shrinkage estimation of large integrated covariance matrices
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach
- Regularized estimation of large covariance matrices
minimum variance portfoliomicrostructure noisenonlinear shrinkagehigh frequency datanon-synchronous tradingintegrated covariance matrix
Density estimation (62G07) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- Spectral analysis of large dimensional random matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Regularized estimation of large covariance matrices
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- High-frequency covariance estimates with noisy and asynchronous financial data
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- Title not available (Why is that?)
- No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
- Large volatility matrix inference via combining low-frequency and high-frequency approaches
- Estimation with quadratic loss.
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Estimating covariation: Epps effect, microstructure noise
- On asymptotics of eigenvectors of large sample covariance matrix
- Realized kernels in practise : trades and quotes
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Design-free estimation of variance matrices
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- Vast volatility matrix estimation for high-frequency financial data
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- Jump detection with wavelets for high-frequency financial time series
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Cited In (4)
This page was built for publication: A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1668581)
