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Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc; Otranto, Edoardo - In: Journal of financial econometrics 21 (2023) 4, pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
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Covariance matrix estimation under total positivity for portfolio selection
Agrawal, Raj; Roy, Uma; Uhler, Caroline - In: Journal of financial econometrics 20 (2022) 2, pp. 367-389
Persistent link: https://www.econbiz.de/10013187988
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Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.; Hansen, Peter Reinhard; Janus, Paweł; … - In: Journal of financial econometrics 17 (2019) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
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Factor high-frequency-based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - In: Journal of financial econometrics 17 (2019) 1, pp. 33-65
Persistent link: https://www.econbiz.de/10012054425
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Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne; Lucas, André - In: Journal of financial econometrics 17 (2019) 1, pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
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Oops! I shrunk the sample covariance matrix again : blockbuster meets shrinkage
De Nard, Gianluca - In: Journal of financial econometrics 20 (2022) 4, pp. 569-611
Persistent link: https://www.econbiz.de/10013349144
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An enhanced factor model for portfolio selection in high dimensions
Shi, Fangquan; Shu, Lianjie; Gu, Xinhua - In: Journal of financial econometrics 22 (2024) 1, pp. 94-118
Persistent link: https://www.econbiz.de/10014526307
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Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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Forecasting large realized covariance matrices : the benefits of factor models and shrinkage
Alves, Rafael P.; Brito, Diego S. de; Medeiros, Marcelo C. - In: Journal of financial econometrics 22 (2024) 3, pp. 696-742
Persistent link: https://www.econbiz.de/10015045177
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Bayesian nonparametric estimation of ex post variance
Griffin, Jim; Liu, Jia; Maheu, John M. - In: Journal of financial econometrics 19 (2021) 5, pp. 823-859
Persistent link: https://www.econbiz.de/10012799051