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Regression-Based Estimation of Covariance Matrix of Stock Returns
Saejoon Kim, Soong Kim
182 - 188
10.3233/978-1-61499-927-0-182
Frontiers in Artificial Intelligence and Applications
Volume 309: Fuzzy Systems and Data Mining IV
Abstract

Covariance matrix estimation is an important problem in various fields of social science including financial economics. In this paper, we consider the estimation problem in the regression framework in order to resolve the deficiencies of the traditional methods. In particular, we establish the regression framework using support vector regression for the in-sample-based and the shrinkage-based estimation methods. Empirical results will indicate that our proposed covariance matrix estimation methods sufficiently perform superior to the two traditional estimation methods.

$35.00 / €27.50 / £22.00
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