A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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Mathematics

100
Positive Definite Mathematics
100
Covariance Mathematics
100
High-Frequency Data Mathematics
66
Sample Mathematics
33
Convergence Rate Mathematics
33
Least Square Mathematics
33
Square Estimator Mathematics
33
Covariance Structur... Mathematics
33
Convex Minimization... Mathematics
33
Stock Market Mathematics
33
Alternating Directi... Mathematics
33
Lasso Regression Mathematics
33
Sharpe Ratio Mathematics
33
Algorithm Mathematics
33
Principal Component... Mathematics

Computer Science

100
Procedure Computer Science
100
Positive Definite Computer Science
33
Model Computer Science
33
Algorithms Computer Science
33
Minimization Proble... Computer Science
33
Least Squares Metho... Computer Science
33
Machine Learning Te... Computer Science
33
Convergence Rate Computer Science
33
Component Analysis Computer Science
33
Principal Component... Computer Science
33
Selection Operator Computer Science
33
Signal Strength Computer Science
33
Economic Factor Computer Science
33
Alternating Directi... Computer Science

Keyphrases

100
High-frequency Data Keyphrases
100
Positive Definite Keyphrases
100
Covariance Estimati... Keyphrases
50
Convergence Rate Keyphrases
50
Stock Market Keyphrases
50
Machine Learning Te... Keyphrases
50
Principal Coordinat... Keyphrases
50
Signal Strength Keyphrases
50
S&P 500 Keyphrases
50
Economic Factors Keyphrases
50
Fama-French Keyphrases
50
Methodological Supp... Keyphrases
50
Factor Model Keyphrases
50
Positive Definitene... Keyphrases
50
Covariance Structur... Keyphrases
50
Noise Trading Keyphrases
50
Portfolio Risk Keyphrases
50
Out-of-sample Perfo... Keyphrases
50
Idiosyncratic Compo... Keyphrases
50
Alternating Directi... Keyphrases
50
Sharpe Ratio Keyphrases
50
Least Absolute Shri... Keyphrases
50
NASDAQ Keyphrases
50
Microstructure Nois... Keyphrases
50
Portfolio Allocatio... Keyphrases
50
Constrained Convex ... Keyphrases
50
Asynchronous Tradin... Keyphrases
50
Weak Factors Keyphrases
50
Penalised Least Squ... Keyphrases

INIS

100
stocks INIS
100
data INIS
33
algorithms INIS
33
convergence INIS
33
microstructure INIS
33
performance INIS
33
allocations INIS
33
economics INIS
33
market INIS
33
minimization INIS
33
least square fit INIS
33
signals INIS
33
connections INIS
33
noise INIS
33
risks INIS
33
france INIS
33
shrinkage INIS
33
machine learning INIS
33
principal component... INIS

Engineering

100
High Frequency Engineering
100
Estimator Engineering
100
Positive Definite Engineering
16
Performance Engineering
16
Economics Engineering
16
Principal Component... Engineering
16
Least Square Engineering
16
Convergence Rate Engineering
16
Component Analysis Engineering
16
Minimization Proble... Engineering
16
Signal Strength Engineering
16
Machine Learning Te... Engineering
16
Alternating Directi... Engineering
16
Least Absolute Shri... Engineering
16
Model Engineering
16
Algorithm Engineering

Economics, Econometrics and Finance

100
Estimation Theory Economics, Econometrics a...
50
Stock Economics, Econometrics a...
16
Economics Economics, Econometrics a...
16
Market Economics, Econometrics a...
16
Finance Economics, Econometrics a...
16
Factor Model Economics, Econometrics a...
16
Principal Component... Economics, Econometrics a...
16
Machine Learning Economics, Econometrics a...
Research OutputsResearch Output authored by A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data is tagged with the concept