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Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
Rosenow, Bernd - In: Journal of economic dynamics & control 32 (2008) 1, pp. 279-302
Persistent link: https://www.econbiz.de/10003622775
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Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance
Frahm, Gabriel (contributor); Jaekel, Uwe (contributor) - 2007
Persistent link: https://www.econbiz.de/10003449387
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A dynamic conditional score model for the log correlation matrix
Hafner, Christian M.; Wang, Linqi - 2019
Persistent link: https://www.econbiz.de/10012215223
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Dynamic conditional correlation models for realized covariance matrices
Bauwens, Luc; Storti, Giuseppe; Violante, Francesco - 2012
Persistent link: https://www.econbiz.de/10009722576
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Estimating realistic implied correlation matrix from option prices
Numpacharoen, Kawee; Numpacharoen, Nattachai - In: Journal of mathematical finance 3 (2013) 4, pp. 401-406
Persistent link: https://www.econbiz.de/10010239524
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Random matrix theory applied to correlations in operational risk
Crénin, François; Cressey, David; Lavaud, Sophie; Xu, … - In: The journal of operational risk 10 (2015) 4, pp. 45-71
Persistent link: https://www.econbiz.de/10011442600
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An overview of the estimation of large covariance and precision matrices
Fan, Jianqing; Liao, Yuan; Liu, Han - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
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Estimation of a multiplicative covariance structure in the large dimensional case
Hafner, Christian M.; Linton, Oliver; Tang, Haihan - 2016
We propose a Kronecker product structure for large covariance or correlation matrices. One feature of this model is … asymptotic distributions of the estimators of the parameters of the spectral distribution of the Kronecker product correlation …
Persistent link: https://www.econbiz.de/10011557633
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Two classes of covariance matrices giving simple linear forecasts
Jewell, William S. - 1975
Persistent link: https://www.econbiz.de/10003066199
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Eigen-Adjusted Covariance Matrices
Menchero, Jose - 2011
The Markowitz mean-variance framework is the foundation of modern portfolio theory. One problem with this approach …
Persistent link: https://www.econbiz.de/10013121223