Correlation shrinkage : implications for risk forecasting
Jose Menchero and Peng Li
| Year of publication: |
2020
|
|---|---|
| Authors: | Menchero, Jose ; Li, Peng |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 18.2020, 3, p. 92-108
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| Subject: | Shrinkage | correlation matrices | estimation error | volatility forecasting | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Korrelation | Correlation | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Statistischer Fehler | Statistical error |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012589102