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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016
Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating … these two strands of literature in order to deliver improved estimation of large dynamic covariance matrices. …
Persistent link: https://www.econbiz.de/10011518597
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the …
Persistent link: https://www.econbiz.de/10013040932
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the …
Persistent link: https://www.econbiz.de/10012584099
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020
. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this …
Persistent link: https://www.econbiz.de/10012253083
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2017 - Revised version
Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating … strands of literature in order to deliver improved estimation of large dynamic covariance matrices. …
Persistent link: https://www.econbiz.de/10011640555
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Dynamic conditional beta is alive and well in the cross-section of daily stock returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013 - This draft: October 8, 2012
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...
Persistent link: https://www.econbiz.de/10009710605
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G. - 2016
This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross-section of daily stock returns. An investment strategy that takes a long position in stocks in the highest conditional beta decile and a short position in stocks in the lowest...
Persistent link: https://www.econbiz.de/10013008033
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G. - 2016
This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross-section of daily stock returns. An investment strategy that takes a long position in stocks in the highest conditional beta decile and a short position in stocks in the lowest...
Persistent link: https://www.econbiz.de/10013008070
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Large Dynamic Covariance Matrices
Engle, Robert F. - 2017
Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating … strands of literature in order to deliver improved estimation of large dynamic covariance matrices …
Persistent link: https://www.econbiz.de/10012968636
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Large Dynamic Covariance Matrices : Enhancements Based on Intraday Data
De Nard, Gianluca - 2020
. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this …
Persistent link: https://www.econbiz.de/10012827099