Dynamic Realized Minimum Variance Portfolio Models
Author:
Affiliation:
1. College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2024.2308106
Reference53 articles.
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2. Aït-Sahalia Y. and Xiu D. (2016). Increased correlation among asset classes: Are volatility or jumps to blame or both? Journal of Econometrics 194(2):205–219.
3. Aït-Sahalia Y. and Xiu D. (2017). Using principal component analysis to estimate a high dimensional factor model with high-frequency data. Journal of Econometrics 201(2):384–399.
4. Andersen T. G. Bollerslev T. and Diebold F. X. (2007). Roughing it up: Including jump components in the measurement modeling and forecasting of return volatility. The review of economics and statistics 89(4):701–720.
5. Barndorff-Nielsen O. E. Hansen P. R. Lunde A. and Shephard N. (2008). Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. Econometrica 76(6):1481–1536.
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