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Dynamic principal component CAW models for high-dimensional realized covariance matrices
Gribisch, Bastian
;
Stollenwerk, Michael
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 799-821
Persistent link: https://www.econbiz.de/10012262622
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2
Adjusting covariance matrix for risk management
Yu, Philip L. H.
;
Ng, F. C.
;
Ting, Jessica K. W.
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1681-1699
Persistent link: https://www.econbiz.de/10012295631
Saved in:
3
An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William
;
Broby, Daniel
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 521-537
Persistent link: https://www.econbiz.de/10014232686
Saved in:
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