Nonlinear shrinkage estimation of large integrated covariance matrices (Q5384486)
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scientific article; zbMATH DE number 7072221
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonlinear shrinkage estimation of large integrated covariance matrices |
scientific article; zbMATH DE number 7072221 |
Statements
Nonlinear shrinkage estimation of large integrated covariance matrices (English)
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24 June 2019
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extreme eigenvalue
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high dimension
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intraday volatility
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maximum exposure bound
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portfolio allocation
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realized covariance
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