Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data
Fan, Jianqing, Furger, Alex, Xiu, DachengLanguage:
english
Journal:
Journal of Business & Economic Statistics
DOI:
10.1080/07350015.2015.1052458
Date:
June, 2015
File:
PDF, 17.00 MB
english, 2015