Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio

Hee-Soo Kim, Dong Wan Shin
  • Applied Economics Letters, June 2018, Taylor & Francis
  • DOI: 10.1080/13504851.2018.1489108

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http://dx.doi.org/10.1080/13504851.2018.1489108