Can I read Covariance Estimates and Order Statistics on EtoBox?
Covariance Estimates and Order Statistics by Jasmeet is a document available to read on EtoBox.
What is Covariance Estimates and Order Statistics about?
The document contains 9 tables summarizing various statistics related to covariance estimates using different estimators with different levels of noise. Table 1.1-1.3 contain relative and absolute error statistics for in-sample covariance estimates using different estimators. Tables 1.4-1.6 contain regression results of real integrated covariance on covariance forecasts with different levels of noise. Tables 1.7-1.9 contain annualized fees an investor would be willing to pay to switch between different cova
- Author
- Jasmeet
- Language
- EN