Narrow search
Showing 1 - 10 of 14,011
Cover Image
Markowitz portfolios under transaction costs
Ledoit, Olivier; Wolf, Michael - 2022
Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...
Persistent link: https://www.econbiz.de/10013440073
Cover Image
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca; Zhao, Zhao - In: Journal of empirical finance 72 (2023), pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Cover Image
The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier; Wolf, Michael - 2019
performance improvement, especially if overlaid with stylized facts such as time-varying co-volatility or factor models. …
Persistent link: https://www.econbiz.de/10012018920
Cover Image
The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier; Wolf, Michael - 2020 - This version: February 2020
performance improvement, especially if overlaid with stylized facts such as time-varying co-volatility or factor models. …
Persistent link: https://www.econbiz.de/10012165719
Cover Image
High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data
Cai, Tony - 2019
This paper studies the estimation of high-dimensional minimum variance portfolio (MVP) based on the high frequency returns which can exhibit heteroscedasticity and possibly be contaminated by microstructure noise. Under certain sparsity assumptions on the precision matrix, we propose estimators...
Persistent link: https://www.econbiz.de/10012900204
Cover Image
Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37
this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …
Persistent link: https://www.econbiz.de/10014281494
Cover Image
On the diversification of portfolios of risky assets
Frahm, Gabriel; Wiechers, Christof - 2011
We introduce a measure of diversification for portfolios comprising d risky assets. This measure relates the smallest possible return variance among these d assets to the overall portfolio return variance, yielding the portion of non-diversifiable risk. In the context of normally distributed...
Persistent link: https://www.econbiz.de/10008939082
Cover Image
Fractional integration and fat tails for realized covariance kernels and returns
Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...
Persistent link: https://www.econbiz.de/10011531139
Cover Image
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Cover Image
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …
Persistent link: https://www.econbiz.de/10013459316