Estimating correlation and covariance matrices by weighting of market similarity (Q5245358)
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scientific article; zbMATH DE number 6423405
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating correlation and covariance matrices by weighting of market similarity |
scientific article; zbMATH DE number 6423405 |
Statements
Estimating correlation and covariance matrices by weighting of market similarity (English)
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8 April 2015
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portfolio optimization
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correlation structures
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time series analysis
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market dynamics
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