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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Parameter estimation risk in portfolio optimisation - an application to Smart Beta investment strategies
Himbert, Benedikt W. - 2018
Persistent link: https://www.econbiz.de/10012018992
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Nonlinear shrinkage of the covariance matrix for portfolio selection : Markowitz meets Goldilocks
Ledoit, Olivier; Wolf, Michael - In: The review of financial studies 30 (2017) 12, pp. 4349-4388
Persistent link: https://www.econbiz.de/10011924578
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Credit portfolio correlations and uncertainty
Höse, Steffi - 2012
Persistent link: https://www.econbiz.de/10013441220
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Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel - 2020
Persistent link: https://www.econbiz.de/10012488824
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Asymptotic analysis of long-term investment with two illiquid and correlated assets
Chen, Xinfu; Dai, Min; Jiang, Wei; Qin, Cong - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1133-1169
Persistent link: https://www.econbiz.de/10013463397
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A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt
Ejaz, Abdullah; Polak, Petr - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200
Persistent link: https://www.econbiz.de/10012659646
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Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538
Persistent link: https://www.econbiz.de/10003741298
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High dimensional covariance matrix estimation using a factor model
Fan, Jianqing; Fan, Yingying; Lv, Jinchi - In: Journal of econometrics 147 (2008) 1, pp. 186-197
Persistent link: https://www.econbiz.de/10003783799
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Portfolio selection with common correlation mixture models
Haas, Markus; Mittnik, Stefan - In: Risk assessment : decisions in banking and finance, (pp. 47-76). 2008
Persistent link: https://www.econbiz.de/10003781608