On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
Allaj, Erindi, Mancino, Maria ElviraLanguage:
english
Journal:
Communications in Statistics - Simulation and Computation
DOI:
10.1080/03610918.2019.1643882
Date:
July, 2019
File:
PDF, 2.10 MB
english, 2019