On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
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Publication:5086397
DOI10.1080/03610918.2019.1643882OpenAlexW2892637801MaRDI QIDQ5086397FDOQ5086397
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
financial performance measureshigh-frequency dataasset-allocationnon-parametric covariance estimators
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