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
Issue number4
Pages (from-to)504-518
Number of pages15
Publication statusPublished - 2016

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