Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

DOI10.1080/01621459.2012.656041zbMath1328.91266arXiv1004.4956OpenAlexW1966999234WikidataQ34522271 ScholiaQ34522271MaRDI QIDQ4916473

Ke Yu, Ying-Ying Li, Jianqing Fan

Publication date: 22 April 2013

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.4956

zbMATH Keywords

high-frequency dataconcentration inequalitiesrisk assessmentportfolio allocationvolatility matrix estimationrefresh time

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites Work

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