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On the accuracy of VaR estimates based on the variance-covariance approach
Dave, Rakhal D. - In: Risk measurement, econometrics and neural networks : …, (pp. 189-232). 1998
Persistent link: https://www.econbiz.de/10001305354
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Average inter-security correlation coefficients : implications for the timing of hedging decisions
Brooks, Robert - In: Advances in futures and options research : a research annual 9 (1997), pp. 129-155
Persistent link: https://www.econbiz.de/10001226763
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The hedge ratio : an exact test of the random walk hypothesis
Geppert, John M. - In: Journal of the Midwest Finance Association 20 (1991), pp. 96-106
Persistent link: https://www.econbiz.de/10001172970
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Essays in international economics and finance
Reidel, Demian Axel - 2006
Persistent link: https://www.econbiz.de/10003965691
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Time varying covariance structures in financial markets
Gerhard, Frank; Hess, Dieter - 1996
measurement. Therefore, we evaluate the performance of these estimation concepts on the basis of their suitability to select …
Persistent link: https://www.econbiz.de/10009623412
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Portfolio-Optimierung und Beta-Bestimmung unter Verwendung impliziter Informationen
Saßning, Sven - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009691279
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The effect of estimation in high-dimensional portfolios
Gandy, Axel; Veraart, Luitgard - In: Mathematical finance : an international journal of … 23 (2013) 3, pp. 531-559
Persistent link: https://www.econbiz.de/10009783354
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Time varying covariance structures in financial markets
Gerhard, Frank - 1996
Persistent link: https://www.econbiz.de/10013388200
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High-dimensionality in statistics and portfolio optimization
Glombek, Konstantin - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013360879