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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
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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
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Predicting stock market returns with average correlation and average variance : decomposition approach
Oh, Jong-Min - In: Finance research letters 63 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014531460
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Rough stochastic elasticity of variance and option pricing
Cao, Jiling; Kim, Jeong-Hoon; Kim, See-Woo; Zhang, WenJun - In: Finance research letters 37 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
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Forecasting realized variance using asymmetric HAR model with time-varying coefficients
Wu, Xinyu; Hou, Xinmeng - In: Finance research letters 30 (2019), pp. 89-95
Persistent link: https://www.econbiz.de/10012420297
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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
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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
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Robust estimation of covariance and its application to portfolio optimization
Huo, Lijuan; Kim, Tae-hwan; Kim, Yunmi - In: Finance research letters 9 (2012) 3, pp. 121-134
Persistent link: https://www.econbiz.de/10009628116
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The instability of the Pearson correlation coefficient in the presence of coincidental outliers
Kim, Yunmi; Kim, Tae-hwan; Ergün, Tolga - In: Finance research letters 13 (2015), pp. 243-257
Persistent link: https://www.econbiz.de/10011552545
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Correlation impulse response functions
Hafner, Christian M.; Herwartz, Helmut - In: Finance research letters 57 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014513333