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Shrinkage Estimator for Newey-West Covariance Matrix
I like to apply the Newey-West covariance estimator for portfolio optmization which is given by $$ \Sigma = \Sigma(0) + \frac12 \left (\Sigma(1) + \Sigma(1)^T \right), $$ where $\Sigma(i)$ is the lag ...
Jul 24 '13 at 13:42
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