On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?

DOI10.1080/03610918.2019.1643882MaRDI QIDQ5086397zbMATH OpenOpenAlexFDO

Authors Erindi Allaj, Maria Elvira Mancino

Publication date 5 July 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1643882

zbMATH Keywords

financial performance measureshigh-frequency dataasset-allocationnon-parametric covariance estimators

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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