Hey guys,
I am writing an report about using Black Litterman Model to optimize trading strategies. ...and I have encountered some problems in estimating Covariance Matrix of different sectors in a given stock mkt.....for now I have collected data about returns of diverse sectors but there is a little trouble about covariance matrix....I am considering using Newey West method but i am a little bit confused about the actual steps.....
if anyone can give me some tips about covariance matrix estimator or how to carry out Newey West method....
many thanks ....
I am writing an report about using Black Litterman Model to optimize trading strategies. ...and I have encountered some problems in estimating Covariance Matrix of different sectors in a given stock mkt.....for now I have collected data about returns of diverse sectors but there is a little trouble about covariance matrix....I am considering using Newey West method but i am a little bit confused about the actual steps.....
if anyone can give me some tips about covariance matrix estimator or how to carry out Newey West method....
many thanks ....
