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Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
thresholding method, comparing it with other estimators in simulations and an empirical application on the design of minimum …
Persistent link: https://www.econbiz.de/10012316010
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Improved estimation of the covariance matrix of stock returns with an application to portofolio selection
Ledoit, Olivier; Wolf, Michael - Department of Economics and Business, Universitat … - 2001
estimators: the sample covariance matrix and single-index covariance matrix. This method is generally known as shrinkage, and it … is standard in decision theory and in empirical Bayesian statistics. Our shrinkage estimator can be seen as a way to …
Persistent link: https://www.econbiz.de/10005827499
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Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?
Leeb, Hannes; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2005
We consider the problem of estimating the unconditional distribution of a post-model-selection estimator. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model selection criterion like AIC or by a hypothesis...
Persistent link: https://www.econbiz.de/10005619444
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
of estimating the theoretical constant arising in the rate of convergence of existing thresholding estimators, and hence …
Persistent link: https://www.econbiz.de/10011460771
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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …
Persistent link: https://www.econbiz.de/10010398521
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …
Persistent link: https://www.econbiz.de/10010361374
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
of estimating the theoretical constant arising in the rate of convergence of existing thresholding estimators, and hence …
Persistent link: https://www.econbiz.de/10011405221
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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - CESifo - 2014
multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …
Persistent link: https://www.econbiz.de/10010877672
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Smith, Vanessa; Pesaran, Hashem - Faculty of Economics, University of Cambridge - 2014
multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …
Persistent link: https://www.econbiz.de/10010790539
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Covariance prediction in large portfolio allocation
Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics 7 (2019) 2, pp. 1-24
Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...
Persistent link: https://www.econbiz.de/10012696234