Department of Economics and Business Economics

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

Publication: Research - peer-reviewJournal article

DOI

  • Asger Lunde
  • Neil Shephard
    Neil ShephardUniversity of OxfordUnited Kingdom
  • Kevin Sheppard
    Kevin SheppardUniversity of OxfordUnited 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

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