A dynamic structure for high dimensional covariance matrices and its application in portfolio allocation
Estimation of high dimensional covariance matrices is an interesting and important research topic. In this thesis, we propose a dynamic structure and develop an estimation procedure for high dimensional covariance matrices. Simulation studies are conducted to demonstrate its performance when the sam...
| Main Author: | |
|---|---|
| Published: |
University of York
2015
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.675092 |