Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data

Keyphrases

• High-frequency Data 100%
• Large Covariance Matrix 100%
• Industrial Classification 100%
• Factor Model 100%
• Covariance Matrix Estimation 100%
• Portfolio Allocation 100%
• Classification Standard 100%
• Positive Definite 50%
• S&P 500 50%
• Threshold Method 50%
• Location-based 50%
• Covariance Estimation 50%
• Block Diagonal 50%
• Equity Indices 50%
• Residual Covariance 50%
• Index Constituents 50%
• Dimension Asymptotics 50%
• Diagonal Pattern 50%
• Industry Classification 50%
• Global Industry 50%
• Infill 50%
• Diverging Dimension 50%
• Sector Exchange Traded Funds 50%
• Thresholding Scheme 50%
• Fama-French 50%
• Fama-French Five-factor Model 50%
• Model Residuals 50%

Computer Science

• Covariance Matrix 100%
• Block Diagonal 50%
• Positive Definite 50%

Economics, Econometrics and Finance

• Factor Model 100%
• Index Derivative 33%