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Weighted least squares realized covariation estimation
Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
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Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
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An approximation method for analysis and valuation of credit correlation derivatives
Egami, Masahiko; Esteghamat, Kian - In: Journal of banking & finance 30 (2006) 2, pp. 341-364
Persistent link: https://www.econbiz.de/10003291266
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Interorganizational trust and agency costs in credit relationships between savings banks and SMEs
Hirsch, Bernhard; Nitzl, Christian; Schoen, Matthias - In: Journal of banking & finance 97 (2018), pp. 37-50
Persistent link: https://www.econbiz.de/10011967301
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Are correlations constant? : empirical and theoretical results on popular correlation models in finance
Adams, Zeno; Füss, Roland; Glück, Thorsten - In: Journal of banking & finance 84 (2017), pp. 9-24
Persistent link: https://www.econbiz.de/10011816833
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Parameter uncertainty in portfolio selection : shrinking the inverse covariance matrix
Kourtis, Apostolos; Dotsis, George; Markellos, Raphaēl N. - In: Journal of banking & finance 36 (2012) 9, pp. 2522-2531
Persistent link: https://www.econbiz.de/10009656151
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Nonparametric correlation models for portfolio allocation
Aslanidis, Nektarios; Casas, Isabel - In: Journal of banking & finance 37 (2013) 7, pp. 2268-2283
Persistent link: https://www.econbiz.de/10009760686
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Foreign exchange risk and the predictability of carry trade returns
Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - In: Journal of banking & finance 42 (2014), pp. 302-313
Persistent link: https://www.econbiz.de/10010408374
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Covariance complexity and rates of return on assets
MacLean, Leonard C.; Foster, Michael E.; Ziemba, William T. - In: Journal of banking & finance 31 (2007) 11, pp. 3503-3523
Persistent link: https://www.econbiz.de/10003577517
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Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data
Hüttner, Amelie; Scherer, Matthias; Gräler, Benedikt - In: Journal of banking & finance 118 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012521061