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20172024
most citedConsistent Estimation of the High-Dimensional Efficient Frontier

3 citations · 3 across the 3 of their papers we have counts for

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math.ST2017

Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence

Markus Bibinger, Nikolaus Hautsch, Peter Malec +1

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous ob…