2 papers
math.ST2018
Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
Jinyuan Chang, Qiao Hu, Cheng Liu +1
We consider high-dimensional measurement errors with high-frequency data. Our objective is on recovering the high-dimensional cross-sectional covariance matrix of the random errors…
math.ST2016
Shrinkage estimation of covariance matrix for portfolio choice with high frequency data
Cheng Liu, Ningning Xia, Jun Yu
This paper examines the usefulness of high frequency data in estimating the covariance matrix for portfolio choice when the portfolio size is large. A computationally convenient no…