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The distribution of the global minimum variance estimator in elliptical models
Bodnar, Taras; Schmid, Wolfgang - 2003
Persistent link: https://www.econbiz.de/10001916051
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A test for the weights of the global minimum variance portfolio in an elliptical model
Bodnar, Taras; Schmid, Wolfgang - 2004
Persistent link: https://www.econbiz.de/10001916052
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Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 266 (2018) 1, pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
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Statistical inference of the efficient frontier for dependent asset returns
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Statistical papers 50 (2009) 3, pp. 593-604
Persistent link: https://www.econbiz.de/10003844054
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Comparison of different estimation techniques for portfolio selection
Okhrin, Yarema; Schmid, Wolfgang - 2007
Persistent link: https://www.econbiz.de/10003635782
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Surveillance of univariate and multivariate linear time series
Okhrin, Yarema; Schmid, Wolfgang - 2007
Persistent link: https://www.econbiz.de/10003635783
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Surveillance of univariate and multivariate nonlinear time series
Okhrin, Yarema; Schmid, Wolfgang - 2007
Persistent link: https://www.econbiz.de/10003635784
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Comparison of different estimation techniques for portfolio selection
Okhrin, Yarema; Schmid, Wolfgang - In: Advances in statistical analysis : AStA ; a journal of … 91 (2007) 2, pp. 109-127
Persistent link: https://www.econbiz.de/10003525357
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Surveillance of the covariance matrix of multivariate nonlinear time series
Śliwa, Przemysław; Schmid, Wolfgang - 2008
Persistent link: https://www.econbiz.de/10003800389
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EWMA control charts for monitoring optimal portfolio weights
Golosnoy, Vasyl; Schmid, Wolfgang - 2008
Persistent link: https://www.econbiz.de/10003800395