This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao … trivial due to the incidental parameters problem that arises, and its implications for estimation and inference. We approach …

strategies. First, we show that the tangency portfolios fully diversify the risk associated with the factor component of asset …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …