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~isPartOf:"IHS economics series : working paper"
~isPartOf:"Journal of empirical finance"
~subject:"Multivariate Analyse"
~subject:"Theory"
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Multivariate Analyse
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IHS economics series : working paper
Journal of empirical finance
Journal of econometrics
14
Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
10
SFB 649 discussion paper
9
International journal of theoretical and applied finance
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Working paper series / University of Zurich, Department of Economics
8
Econometric reviews
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Journal of banking & finance
7
Journal of financial econometrics
7
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
7
International journal of forecasting
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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CREATES research paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Research paper series / Swiss Finance Institute
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The review of financial studies
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Reihe Quantitative Ökonomie : Ökon
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Theorien und Methoden der Betriebswirtschaft : Handbuch für Wissenschaftler und Studierende
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Working paper series / Centre for Practical Quantitative Finance
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Applied economics letters
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Dresdner Beiträge zu quantitativen Verfahren
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Finance and stochastics
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Finance research letters
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Insurance / Mathematics & economics
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International review of financial analysis
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ECONIS (ZBW)
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1
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
2
Characteristic-sorted portfolios and macroeconomic risks : an orthogonal decomposition
Adcock, Christopher
;
Bessler, Wolfgang
;
Conlon, Thomas
- In:
Journal of empirical finance
65
(
2022
),
pp. 24-50
Persistent link: https://www.econbiz.de/10013286399
Saved in:
3
Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian
;
Hartkopf, Jan Patrick
;
Liesenfeld, Roman
- In:
Journal of empirical finance
55
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012175249
Saved in:
4
Volatility forecasts, proxies and loss functions
Reschenhofer, Erhard
;
Mangat, Manveer Kaur
;
Stark, Thomas
- In:
Journal of empirical finance
59
(
2020
),
pp. 133-153
Persistent link: https://www.econbiz.de/10012437952
Saved in:
5
Exponential smoothing of realized portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Seifert, Miriam
- In:
Journal of empirical finance
53
(
2019
),
pp. 222-237
Persistent link: https://www.econbiz.de/10012171651
Saved in:
6
Maximal predictability under long-term mean reversion
Hjalmarsson, Erik
- In:
Journal of empirical finance
45
(
2018
),
pp. 269-282
Persistent link: https://www.econbiz.de/10012102446
Saved in:
7
Monitoring multivariate variance changes
Pape, Katharina
;
Wied, Dominik
;
Galeano, Pedro
- In:
Journal of empirical finance
39
(
2016
),
pp. 54-68
Persistent link: https://www.econbiz.de/10011663296
Saved in:
8
Duality in mean-variance frontiers with conditioning information
Peñaranda, Francisco
;
Sentana, Enrique
- In:
Journal of empirical finance
38
(
2016
),
pp. 762-785
Persistent link: https://www.econbiz.de/10011663795
Saved in:
9
Risk spillovers in international equity portfolios
Bonato, Matteo
;
Caporin, Massimiliano
;
Ranaldo, Angelo
- In:
Journal of empirical finance
24
(
2013
),
pp. 121-137
Persistent link: https://www.econbiz.de/10010371985
Saved in:
10
A note on the returns from minimum variance investing
Scherer, Bernd
- In:
Journal of empirical finance
18
(
2011
)
4
,
pp. 652-660
Persistent link: https://www.econbiz.de/10009306537
Saved in:
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