Browsing by Author "Kyj, Lada M."

Now showing items 1-3 of 3

2009-10-21Buch

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A.

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we ...
2013-03-08Buch

Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents ...
2011-09-29Buch

The Merit of High-Frequency Data in Portfolio Allocation

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter

This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers ...