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Spanning tests in return and stochastic discount factor mean-variance frontiers : a unifying approach
Peñaranda, Francisco; Sentana, Enrique - In: Journal of econometrics 170 (2012) 2, pp. 303-324
Persistent link: https://www.econbiz.de/10009685912
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High dimensional covariance matrix estimation using a factor model
Fan, Jianqing; Fan, Yingying; Lv, Jinchi - In: Journal of econometrics 147 (2008) 1, pp. 186-197
Persistent link: https://www.econbiz.de/10003783799
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A comparison of meanvariance efficiency tests
Amengual, Dante; Sentana, Enrique - In: Journal of econometrics 154 (2010) 1, pp. 16-34
Persistent link: https://www.econbiz.de/10003931734
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Dominating estimators for minimum-variance portfolios
Frahm, Gabriel; Memmel, Christoph - In: Journal of econometrics 159 (2010) 2, pp. 289-302
Persistent link: https://www.econbiz.de/10008840478
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Subsampling the distribution of diverging statistics with applications to finance
Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - In: Journal of econometrics 120 (2004) 2, pp. 295-326
Persistent link: https://www.econbiz.de/10002028637
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 222 (2021) 1,2, pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
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New testing approaches for mean-variance predictability
Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 222 (2021) 1,2, pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
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Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 217 (2020) 2, pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
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Estimation of a multiplicative correlation structure in the large dimensional case
Hafner, Christian M.; Linton, Oliver; Tang, Haihan - In: Journal of econometrics 217 (2020) 2, pp. 431-470
Persistent link: https://www.econbiz.de/10012482816