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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
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A latent factor model for forecasting realized variances
Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
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Factor models for portfolio selection in large dimensions : the good, the better and the ugly
De Nard, Gianluca; Ledoit, Olivier; Wolf, Michael - In: Journal of financial econometrics 19 (2021) 2, pp. 236-257
Persistent link: https://www.econbiz.de/10012620051
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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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Realized variance modeling : decoupling forecasting from estimation
Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: Journal of financial econometrics 18 (2020) 3, pp. 532-555
Persistent link: https://www.econbiz.de/10012316698
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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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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