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

Jianqing Fan, Alex Furger, Dacheng Xiu

Research output: Contribution to journalArticlepeer-review

41 Scopus citations

Fingerprint

Dive into the research topics of 'Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data'. Together they form a unique fingerprint.

Mathematics

Business & Economics

Social Sciences