A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data

DOI10.1016/j.jeconom.2018.06.001zbMath1398.62311OpenAlexW2809550729MaRDI QIDQ1668581

Clifford Lam, Phoenix Feng

Publication date: 29 August 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/88375/

zbMATH Keywords

high frequency datamicrostructure noisenonlinear shrinkageminimum variance portfolionon-synchronous tradingintegrated covariance matrix

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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