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Analysis of variance
10
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10
Portfolio selection
8
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7
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7
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Bodnar, Taras
Kapetanios, George
16
Ledoit, Olivier
16
Wolf, Michael
16
Schmid, Wolfgang
14
Caporin, Massimiliano
12
Ferrer-i-Carbonell, Ada
12
Hafner, Christian M.
12
Herwartz, Helmut
12
Bauwens, Luc
11
Christensen, Kim
10
Voev, Valeri
10
De Nard, Gianluca
9
Podolskij, Mark
9
Bollerslev, Tim
8
Gribisch, Bastian
8
Hartung, Joachim
8
Hautsch, Nikolaus
8
Hodrick, Robert J.
8
Watanabe, Toshiaki
8
Zeileis, Achim
8
Barndorff-Nielsen, Ole E.
7
Bonato, Matteo
7
Braione, Manuela
7
Fengler, Matthias R.
7
Frondel, Manuel
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Gao, Jiti
7
Golosnoy, Vasyl
7
Inoue, Atsushi
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Kyj, Lada M.
7
Liesenfeld, Roman
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Nielsen, Morten Ørregaard
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Okhrin, Yarema
7
Oomen, Roel C. A.
7
Opschoor, Anne
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7
Patton, Andrew J.
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
2
European journal of operational research : EJOR
2
Advances in statistical analysis : AStA ; a journal of the German Statistical Society
1
Finance research letters
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ECONIS (ZBW)
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1
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
-
2021
Persistent link: https://www.econbiz.de/10012603081
Saved in:
3
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
4
Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras
;
Parolya, Nestor
;
Schmid, Wolfgang
- In:
European journal of operational research : EJOR
266
(
2018
)
1
,
pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
Saved in:
5
Bayesian estimation of the global minimum variance portfolio
Bodnar, Taras
;
Mazur, Stepan
;
Okhrin, Yarema
- In:
European journal of operational research : EJOR
256
(
2017
)
1
,
pp. 292-307
Persistent link: https://www.econbiz.de/10011611271
Saved in:
6
Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model
Bodnar, Taras
;
Gupta, Arjun K.
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1176-1194
Persistent link: https://www.econbiz.de/10011419827
Saved in:
7
Statistical inference procedure for the mean-variance efficient frontier with estimated parameters
Bodnar, Olha
;
Bodnar, Taras
- In:
Advances in statistical analysis : AStA ; a journal of …
93
(
2009
)
3
,
pp. 295-306
Persistent link: https://www.econbiz.de/10003888645
Saved in:
8
Statistical inference of the efficient frontier for dependent asset returns
Bodnar, Taras
;
Schmid, Wolfgang
;
Zabolotskyy, Taras
- In:
Statistical papers
50
(
2009
)
3
,
pp. 593-604
Persistent link: https://www.econbiz.de/10003844054
Saved in:
9
A test for the weights of the global minimum variance portfolio in an elliptical model
Bodnar, Taras
;
Schmid, Wolfgang
-
2004
Persistent link: https://www.econbiz.de/10001916052
Saved in:
10
The distribution of the global minimum variance estimator in elliptical models
Bodnar, Taras
;
Schmid, Wolfgang
-
2003
Persistent link: https://www.econbiz.de/10001916051
Saved in:
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