Regression-Based Estimation of Covariance Matrix of Stock Returns.
Saejoon KimSoong KimPublished in: FSDM (2018)
Keyphrases
- covariance matrix
- stock returns
- estimation error
- covariance matrices
- principal component analysis
- sample size
- geometrical interpretation
- developed countries
- correlation matrix
- stock market
- cross sectional
- panel data
- stock price
- objective function
- financial time series
- maximum likelihood estimation
- stock data
- financial markets
- developing countries
- parameter estimation
- image registration