Department of Economics and Business Economics

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

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Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice. / Lunde, Asger; Shephard, Neil; Sheppard, Kevin.

In: Journal of Business and Economic Statistics, Vol. 34, No. 4, 2016, p. 504-518.

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

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Author

Lunde, Asger ; Shephard, Neil ; Sheppard, Kevin. / Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice. In: Journal of Business and Economic Statistics. 2016 ; Vol. 34, No. 4. pp. 504-518.

Bibtex

@article{9721438370bb499b8aa0343595892e31,
title = "Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice",
author = "Asger Lunde and Neil Shephard and Kevin Sheppard",
year = "2016",
doi = "10.1080/07350015.2015.1064432",
language = "English",
volume = "34",
pages = "504--518",
journal = "Journal of Business and Economic Statistics",
issn = "0735-0015",
publisher = "Taylor & Francis Inc.",
number = "4",

}

RIS

TY - JOUR

T1 - Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice

AU - Lunde, Asger

AU - Shephard, Neil

AU - Sheppard, Kevin

PY - 2016

Y1 - 2016

U2 - 10.1080/07350015.2015.1064432

DO - 10.1080/07350015.2015.1064432

M3 - Journal article

VL - 34

SP - 504

EP - 518

JO - Journal of Business and Economic Statistics

JF - Journal of Business and Economic Statistics

SN - 0735-0015

IS - 4

ER -