Comparing High Dimensional Conditional Covariance Matrices : Implications for Portfolio Selection
Year of publication: |
2020
|
---|---|
Authors: | Moura, Guilherme V. |
Other Persons: | A. P. Santos, Andre (contributor) ; Ruiz, Esther (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Varianzanalyse | Analysis of variance | Korrelation | Correlation |
Extent: | 1 Online-Ressource (45 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 17, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3222808 [DOI] |
Classification: | C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus, (2013)
-
Risk spillovers in international equity portfolios
Bonato, Matteo, (2012)
-
Exponential high-frequency-based-volatility (EHEAVY) models
Xu, Yongdeng, (2022)
- More ...
-
Combining Multivariate Volatility Forecasts : An Economic-Based Approach
Caldeira, João, (2016)
-
Yield Curve Forecast Combinations Based on Bond Portfolio Performance
Caldeira, João, (2017)
-
Bond Portfolio Optimization Using Dynamic Factor Models
Caldeira, João, (2015)
- More ...