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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Finance research letters"
~person:"Bongiorno, Christian"
~person:"Fan, Jianqing"
~subject:"Correlation"
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Volatility
Correlation
Estimation theory
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1985-2005
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Aggregation
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Capital income
1
Covariance matrix filtering
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Government securities
1
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Mathematical programming
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Mathematische Optimierung
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Bongiorno, Christian
Fan, Jianqing
Corsi, Fulvio
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Herwartz, Helmut
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Kim, Tae-hwan
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
Journal of econometrics
5
Journal of the American Statistical Association : JASA
4
Chicago Booth Research Paper
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
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The European journal of finance
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The econometrics journal
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Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian
;
Challet, Damien
- In:
Finance research letters
52
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
Saved in:
2
Aggregation of nonparametric estimators for volatility matrix
Fan, Jianqing
;
Fan, Yingying
;
Lv, Jinchi
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
3
,
pp. 321-357
Persistent link: https://www.econbiz.de/10003518410
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