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~person:"Chiu, Wan-Yi"
~person:"Hafner, Christian M."
~person:"Schmid, Wolfgang"
~person:"Storti, Giuseppe"
~subject:"Analysis of variance"
~type_genre:"Aufsatz in Zeitschrift"
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Analysis of variance
Varianzanalyse
11
Portfolio selection
8
Portfolio-Management
8
Theorie
6
Theory
6
Estimation theory
5
Schätztheorie
5
Global minimum variance portfolio
3
Hedging
3
Statistical test
3
Statistischer Test
3
ARCH model
2
ARCH-Modell
2
Capital income
2
Causality analysis
2
Kapitaleinkommen
2
Kausalanalyse
2
Regression hedge
2
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2
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Risk
2
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2
Arbitrage
1
Arbitrage regression
1
CAPM
1
Capital market returns
1
Component Dynamic Models
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Correlation
1
Covariance matrix estimation
1
Expanding frontier
1
Finance
1
Forecasting model
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Information ratio
1
Inverse covariance matrix
1
Kapitalmarktrendite
1
Korrelation
1
Large-dimensional asymptotics
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1
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Aufsatz in Zeitschrift
Arbeitspapier
22
Graue Literatur
22
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22
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22
Article in journal
11
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English
11
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Chiu, Wan-Yi
Hafner, Christian M.
Schmid, Wolfgang
Storti, Giuseppe
Bodnar, Taras
7
Gribisch, Bastian
5
Herrmann, Andreas
5
Patton, Andrew J.
5
De Nard, Gianluca
4
Hansen, Peter Reinhard
4
Hartkopf, Jan Patrick
4
Herwartz, Helmut
4
Lunde, Asger
4
Oomen, Roel C. A.
4
Bandi, Federico M.
3
Bauwens, Luc
3
Bollerslev, Tim
3
Christensen, Kim
3
Fengler, Matthias
3
Golosnoy, Vasyl
3
Grobys, Klaus
3
Gupta, Rangan
3
Huber, Frank
3
Kim, Jae H.
3
Korn, Ralf
3
Laurent, Sébastien
3
Maheu, John M.
3
Podolskij, Mark
3
Rombouts, Jeroen V. K.
3
Russell, Jeffrey R.
3
Santos, André A. P.
3
Sheppard, Kevin
3
Wese Simen, Chardin
3
Wong, Hoi Ying
3
Zheng, Xinghua
3
Amadieu, Paul
2
Andersen, Torben
2
Bai, Jushan
2
Bonato, Matteo
2
Buccheri, Giuseppe
2
Caloia, Francesco Giuseppe
2
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Finance research letters
2
Advances in statistical analysis : AStA ; a journal of the German Statistical Society
1
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Economics letters
1
European journal of operational research : EJOR
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Mathematics and financial economics
1
Review of derivatives research
1
Statistical papers
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ECONIS (ZBW)
11
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1
Stepwise expanding the frontier one asset at a time
Chiu, Wan-Yi
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013341338
Saved in:
2
Mean-variance hedging in the presence of estimation risk
Chiu, Wan-Yi
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 221-241
Persistent link: https://www.econbiz.de/10012659670
Saved in:
3
Safety-first portfolio selection
Chiu, Wan-Yi
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 657-674
Persistent link: https://www.econbiz.de/10012586212
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
On the weight sign of the global minimum variance portfolio
Chiu, Wan-Yi
;
Jiang, Ching-hai
- In:
Finance research letters
19
(
2016
),
pp. 241-246
Persistent link: https://www.econbiz.de/10011657693
Saved in:
6
Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc
;
Braione, Manuela
;
Storti, Giuseppe
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 103-134
Persistent link: https://www.econbiz.de/10011592738
Saved in:
7
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:
8
Testing for causality in variance using multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Annales d'économie et de statistique
89
(
2008
),
pp. 215-241
Persistent link: https://www.econbiz.de/10003875586
Saved in:
9
Comparison of different estimation techniques for portfolio selection
Okhrin, Yarema
;
Schmid, Wolfgang
- In:
Advances in statistical analysis : AStA ; a journal of …
91
(
2007
)
2
,
pp. 109-127
Persistent link: https://www.econbiz.de/10003525357
Saved in:
10
A Lagrange multiplier test for causality in variance
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
93
(
2006
)
1
,
pp. 137-141
Persistent link: https://www.econbiz.de/10003380170
Saved in:
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