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Applied Economics Letters Volume 26, 2019 - Issue 8
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Articles

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

Hee-Soo KimDepartment of Statistics, Ewha Womans University, Seoul, KoreaView further author information
&
Dong Wan ShinDepartment of Statistics, Ewha Womans University, Seoul, KoreaCorrespondence[email protected]
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Pages 661-668 | Published online: 29 Jun 2018

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