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Ledoit, Olivier
Kleijnen, Jack P. C.
129
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79
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63
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ECONIS (ZBW)
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1
Nonlinear shrinkage estimation of large-dimensional covariance matrices
Ledoit, Olivier
;
Wolf, Michael
-
2010
Persistent link: https://www.econbiz.de/10008988598
Saved in:
2
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
-
2016
for conditional heteroskedasticity; a favored model is Dynamic Conditional
Correlation
(DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011518597
Saved in:
3
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
Ledoit, Olivier
(
contributor
);
Wolf, Michael
(
contributor
)
-
2001
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001625987
Saved in:
4
Improved estimation of the covariance matrix of stock returns with an application to portofolio selection
Ledoit, Olivier
(
contributor
);
Wolf, Michael
(
contributor
)
-
2001
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001627199
Saved in:
5
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of empirical finance
10
(
2003
)
5
,
pp. 603-621
Persistent link: https://www.econbiz.de/10001806971
Saved in:
6
Honey, I shrunk the sample covariance matrix
Ledoit, Olivier
(
contributor
);
Wolf, Michael
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002055527
Saved in:
7
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
Saved in:
8
Large Dynamic Covariance Matrices
Engle, Robert F.
-
2017
for conditional heteroskedasticity; a favored model is Dynamic Conditional
Correlation
(DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10012968636
Saved in:
9
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection : Markowitz Meets Goldilocks
Ledoit, Olivier
-
2017
Markowitz (1952) portfolio selection requires an estimator of the covariance matrix of returns. To address this problem, we promote a nonlinear shrinkage estimator that is more flexible than previous linear shrinkage estimators and has just the right number of free parameters (that is, the...
Persistent link: https://www.econbiz.de/10012973579
Saved in:
10
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
unconditional
correlation
matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
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