Department of Economics and Business Economics

Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Asger Lunde
  • Neil Shephard, University of Oxford, United KingdomKevin Sheppard, University of Oxford, United Kingdom
Original languageEnglish
JournalJournal of Business and Economic Statistics
Volume34
Issue number4
Pages (from-to)504-518
Number of pages15
ISSN0735-0015
DOIs
StatePublished - 2016

See relations at Aarhus University Citationformats

ID: 101197332