Estimating correlation and covariance matrices by weighting of market similarity
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2011.605075
Reference20 articles.
1. Practical Volatility and Correlation Modeling for Financial Market Risk Management
2. Using High-Frequency Data in Dynamic Portfolio Choice
3. Generalized autoregressive conditional heteroskedasticity
4. Optimal Versus Naive Diversification: How Inefficient is the 1/NPortfolio Strategy?
5. Testing and Valuing Dynamic Correlations for Asset Allocation
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