Covariance estimation : do new methods outperform old ones?
Year of publication: |
2010
|
---|---|
Authors: | Liu, Lan ; Lin, Hao |
Published in: |
Journal of economics and finance. - New York, NY : Springer, ISSN 1055-0925, ZDB-ID 1163091-7. - Vol. 34.2010, 2, p. 187-195
|
Subject: | Korrelation | Correlation | Schätzung | Estimation | Modellierung | Scientific modelling | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | USA | United States | 1988-1996 |
-
Three essays on modeling conditional correlation
Sheppard, Kevin, (2004)
-
The role of investor sentiment in the long-term correlation between U.S. stock and bond markets
Fang, Libing, (2018)
-
Modeling and forecasting realized covariance matrices with accounting for leverage
Anatolyev, Stanislav, (2018)
- More ...
-
Fixed odds bookmaking with stochastic betting demands
Hodges, Stewart D., (2013)
-
Fixed Odds Bookmaking with Stochastic Betting Demands
Hodges, Stewart, (2013)
-
Covariance estimation: do new methods outperform old ones?
Liu, Lan, (2010)
- More ...