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Estimation of time-varying covariance matrices for large datasets

Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020

Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...

Persistent link: https://www.econbiz.de/10012316010

Sparse and stable international portfolio optimization and currency risk management

Burkhardt, Raphael; Ulrych, Urban - In: Journal of international money and finance 139 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014478227

Essays on asset pricing and portfolio optimization

Koeppel, Christian - 2021

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The ﬁrst essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...

Persistent link: https://www.econbiz.de/10012651028

Construction, management, and performance of sparse Markowitz portfolios

Henriques, Julie; Ortega, Juan-Pablo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 383-402

Persistent link: https://www.econbiz.de/10010461234

A nodewise regression approach to estimating large portfolios

Callot, Laurent; Caner, Mehmet; Özlem Önder, A.; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 520-531

Persistent link: https://www.econbiz.de/10012499096

High‐dimensional macroeconomic forecasting and variable selection via penalized regression : editor's choice

Uematsu, Yoshimasa; Tanaka, Shinya - In: The econometrics journal 22 (2019) 1, pp. 34-56

Persistent link: https://www.econbiz.de/10012166649

Sustainable investing and the cross-section of returns and maximum drawdown

Goldberg, Lisa; Mouti, Saad - In: The Journal of finance and data science : JFDS 8 (2022), pp. 353-387

We use supervised learning to identify factors that predict the cross-section of returns and maximum drawdown for stocks in the US equity market. Our data run from January 1970 to December 2019 and our analysis includes ordinary least squares, penalized linear regressions, tree-based models, and...

Persistent link: https://www.econbiz.de/10014433739

Regularized maximum diversification investment strategy

Koné, N'Golo - 2021

problem, we investigate three regularization techniques, including the ridge, the spectral cut-off, and the Landweber …-Fridman approaches in order to stabilize the inverse of the covariance matrix. These regularization schemes involve a tuning parameter … that the selected portfolio by regularization is asymptotically efficient with respect to the diversification ratio. In …

Persistent link: https://www.econbiz.de/10012431092

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of applied econometrics 30 (2015) 2, pp. 263-290

Persistent link: https://www.econbiz.de/10011327609

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013

a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting …

Persistent link: https://www.econbiz.de/10009714536