Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

By Nikolaus Hautsch, Lada M. Kyj, Peter Malec. 2013

88 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5599f47825c1c57ee9a2ad484710ecaa537b90ca

Citations in the corpus

• Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice (2017, unknown): “To overcome these issues, we follow Hautsch et al. (2012) and apply eigenvalue cleaning to every matrix that has eigenvalues smaller than or equal to 0 or a condition number greater than 10nT .”