Narrow search
Showing 1 - 10 of 7,079
Cover Image
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Cover Image
A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
Cover Image
The benefits of improved covariance estimation
Turtle, Harry J.; Wang, Kainan - In: Journal of empirical finance 37 (2016), pp. 233-246
Persistent link: https://www.econbiz.de/10011663041
Cover Image
Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio
Kim, Hee-Soo; Shin, Dong-wan - In: Applied economics letters 26 (2019) 8, pp. 661-668
Persistent link: https://www.econbiz.de/10012204303
Cover Image
Analysing the information embedded in the optimal mean-variance weights : CAPM versus Bamberg and Dorfleitner model
Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Review of managerial science 11 (2017) 4, pp. 789-814
Persistent link: https://www.econbiz.de/10011722001
Cover Image
Modeling covariance breakdowns in multivariate GARCH
Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
Cover Image
Testing super-diagonal structure in high dimensional covariance matrices
He, Jing; Chen, Song Xi - In: Journal of econometrics 194 (2016) 2, pp. 283-297
Persistent link: https://www.econbiz.de/10011705144
Cover Image
Inferences in panel data with interactive effects using large covariance matrices
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 200 (2017) 1, pp. 59-78
Persistent link: https://www.econbiz.de/10011897698
Cover Image
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
Cover Image
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick; Reh, Laura - In: Finance research letters 56 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014473708