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Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …

Persistent link: https://www.econbiz.de/10011518597

Beyond sorting : a more powerful test for cross-sectional anomalies

Ledoit, Olivier; Wolf, Michael; Zhao, Zhao - 2016

Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock...

Persistent link: https://www.econbiz.de/10011571257

Africa stock markets cross-market linkages : a time-varying Dynamic Conditional Correlations (DCC-GARCH) approach

Marozva, Godfrey - In: The journal of applied business research 33 (2017) 2, pp. 321-328

Persistent link: https://www.econbiz.de/10011673887

Large dynamic covariance matrices

Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2017 - Revised version

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …

Persistent link: https://www.econbiz.de/10011640555

Asymmetric correlation as an explanation for the effect of asset skewness on equity returns

Chung, Y. Peter; Kim, Thomas S. - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 686-699

Persistent link: https://www.econbiz.de/10011779392

Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling

Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38

Persistent link: https://www.econbiz.de/10010520086

Benefits of international portfolio diversification : implication of the Middle Eastern oil-producing countries

Zonouzi, S. Jamaledin Mohseni; Mansourfar, Gholamreza; … - In: International journal of Islamic and Middle Eastern … 7 (2014) 4, pp. 457-472

Persistent link: https://www.econbiz.de/10011341491

Hedge fund systemic risk signals

Savona, Roberto - In: European journal of operational research : EJOR 236 (2014) 1, pp. 282-291

Persistent link: https://www.econbiz.de/10010361715

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012819586

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 …

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

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