On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?

DOI10.1080/03610918.2019.1643882OpenAlexW2892637801MaRDI QIDQ5086397

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

zbMATH Keywords

high-frequency data financial performance measures asset-allocation non-parametric covariance estimators

Mathematics Subject Classification ID

Statistics (62-XX)

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