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Flexible multivariate GARCH modeling with an application to international stock markets

Ledoit, Olivier (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001625994

Flexible multivariate GARCH modeling with an application to international stock markets

Ledoit, Olivier; Santa-Clara, Pedro; Wolf, Michael - In: The review of economics and statistics 85 (2003) 3, pp. 735-747

Persistent link: https://www.econbiz.de/10001791792

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10013040932

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021

Persistent link: https://www.econbiz.de/10012584099

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020

Modeling and forecasting dynamic (or time-varying) covariance matrices has many important applications in finance, such as Markowitz portfolio selection. A popular tool to this end are multivariate GARCH models. Historically, such models did not perform well in large dimensions due to the...

Persistent link: https://www.econbiz.de/10012253083

Large dynamic covariance matrices : enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - In: Journal of banking & finance 138 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013461761

Special stock market segments for small company shares : capital raising mechanism and exit route for investors in new technology-based firms

Schmidt, H. (contributor) - 1984

Persistent link: https://www.econbiz.de/10000621624

Market structure and bid-ask spread

Schmidt, Hartmut; Iversen, Peter; Treske, Kai - In: Empirical research on the German capital market : with …, (pp. 79-96). 1999

Persistent link: https://www.econbiz.de/10001427620

Statutory induced switching into a new market

Schmidt, Hartmut; Schrader, Torsten - In: Empirical research on the German capital market : with …, (pp. 97-110). 1999

Persistent link: https://www.econbiz.de/10001427627

Inside spreads vs. individual dealer spreads : components of the bid-ask spread in the German equity market

Schmidt, Hartmut; Treske, Kai - In: German financial markets and institutions: selected studies, (pp. 205-223). 2002

Persistent link: https://www.econbiz.de/10001705556