Nonlinear shrinkage estimation of large integrated covariance matrices
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- Liu, Cheng & Wang, Moming & Xia, Ningning, 2022. "Design-free estimation of integrated covariance matrices for high-frequency data," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Lam, Clifford, 2020. "High-dimensional covariance matrix estimation," LSE Research Online Documents on Economics 101667, London School of Economics and Political Science, LSE Library.
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More about this item
Keywords
Extreme eigenvalue; High dimension; Intra-day volatility; Maximum exposurebound; Portfolio allocation; Realized covariance;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Statistics
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