Large portfolio allocation using high-frequency financial data
From MaRDI portal
Publication:1782099
DOI10.4310/SII.2018.v11.n1.a12MaRDI QIDQ1782099
Yichao Wu, Jian Zou, Fangfang Wang
Publication date: 18 September 2018
Published in: Statistics and Its Interface (Search for Journal in Brave)
regularization; high-frequency data; risk management; portfolio allocation; volatility matrix estimation
62-XX: Statistics