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~person:"Trucíos, Carlos"
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Minimum variance portfolio
4
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Trucíos, Carlos
Frahm, Gabriel
11
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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
2
Covariance prediction in large portfolio allocation
Trucíos, Carlos
;
Zevallos, Mauricio
;
Hotta, Luiz K.
; …
- In:
Econometrics
7
(
2019
)
2
,
pp. 1-24
inputs to obtain out-of-sample
minimum
variance
portfolios based on stocks belonging to the S&P500 index from 2000 to 2017 …
Persistent link: https://www.econbiz.de/10012696234
Saved in:
3
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
-
2019
Persistent link: https://www.econbiz.de/10012064776
Saved in:
4
Covariance prediction in large portfolio allocation
Trucíos, Carlos
;
Zevallos, Mauricio
;
Hotta, Luiz K.
; …
- In:
Econometrics : open access journal
7
(
2019
)
2/19
,
pp. 1-24
inputs to obtain out-of-sample
minimum
variance
portfolios based on stocks belonging to the S&P500 index from 2000 to 2017 …
Persistent link: https://www.econbiz.de/10012025822
Saved in:
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