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Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...
Persistent link: https://www.econbiz.de/10012316010
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
Persistent link: https://www.econbiz.de/10012603081
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - 2021
Persistent link: https://www.econbiz.de/10012605415
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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020
Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series … spurious evidence of serial correlation. …
Persistent link: https://www.econbiz.de/10012243279
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A note on the use of partial correlation coefficients in meta-analyses
Reed, W. Robert - 2020
Persistent link: https://www.econbiz.de/10012426562
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Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han; Fei, Yijie; Yu, Jun - 2023
Persistent link: https://www.econbiz.de/10014329798
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Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - 2023
Persistent link: https://www.econbiz.de/10014281687
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Meta-analysis and partial correlation coefficients : a matter of weights
Hong, Sanghyun; Reed, W. Robert - 2023
Persistent link: https://www.econbiz.de/10014469239
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Minimum VaR and minimum CvaR optimal portfolios : the case of singular covariance matrix
Gulliksson, Mårten; Mazur, Stepan; Oleynik, Anna - 2024
This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...
Persistent link: https://www.econbiz.de/10015084447
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
it is easy to implement and does not require cross-validation. The MT estimator of the sample correlation matrix is shown …
Persistent link: https://www.econbiz.de/10011405221