Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice-Reference-Cited by-同舟云学术

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Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice

Published:2016-09-15 Issue:4 Volume:34 Page:504-518
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Lunde Asger¹,Shephard Neil²,Sheppard Kevin³

Affiliation:

1. Department of Economics and Business Economics & CREATES, Aarhus University, 8210 Aarhus V, Denmark

2. Department of Economics and Department of Statistics, Harvard University, Cambridge, MA, 02138, ()

3. Department of Economics and Oxford-Man Institute, University of Oxford, Oxford OX1 3UQ, UK, and Office of Financial Research, U.S. Treasury ()

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/10.1080/07350015.2015.1064432

Reference68 articles.

1. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

2. The Distribution of Realized Exchange Rate Volatility

3. Modeling and Forecasting Realized Volatility

4. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Cited by 54 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model;Journal of Financial Econometrics;2024-08-21

2. A Unified Framework for Fast Large-Scale Portfolio Optimization;Data Science in Science;2024-02-15

3. Bias-Corrected Realized Covariation in the Presence of Price Staleness;2024

4. Econometrics at Harvard;The Palgrave Companion to Harvard Economics;2024

5. Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model;Journal of Econometrics;2023-07

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