Estimate Covariance Matrix for Black Litterman

[Jet Cheng]

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 ....

 

[tagoma]

BL: what is that?
http://datalab.morningstar.com/know...y_Step_Guide_to_the_Black_Litterman_Model.pdf

Implementing BL:
http://www.blacklitterman.org/impl.html