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Covariance matrix estimation
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Lux, Thomas
45
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44
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33
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32
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Edmans, Alex
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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ECONIS (ZBW)
11,501
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1
Equilibrium moment restrictions on asset returns : normal and crisis periods
Simmons, Peter J.
;
Tantisantiwong, Nongnuch
- In:
The European journal of finance
20
(
2014
)
10/12
,
pp. 1064-1089
Persistent link: https://www.econbiz.de/10010465917
Saved in:
2
Estimating the spot covariation of asset prices : statistical
theory
and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 419-435
Persistent link: https://www.econbiz.de/10012178185
Saved in:
3
Estimating the spot covariation of asset prices : statistical
theory
and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2014
into intraday covariance and
correlation
dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010411945
Saved in:
4
Estimating the spot covariation of asset prices : statistical
theory
and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2014
into intraday covariance and
correlation
dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010412428
Saved in:
5
Combining value and momentum : evidence from the Nordic equity market
Grobys, Klaus
;
Huhta-Halkola, Topi
- In:
Applied economics
51
(
2019
)
26
,
pp. 2872-2884
Persistent link: https://www.econbiz.de/10012196759
Saved in:
6
Industry momentum with
correlation
consolidation : evidence from China
Boubaker, Sabri
;
Du, Lechuan
;
Liu, Zhenya
- In:
The journal of asset management : a major new, …
23
(
2022
)
1
,
pp. 73-82
Persistent link: https://www.econbiz.de/10013170893
Saved in:
7
Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks
Dempsey, Stephen J.
;
Harrison, David M.
;
Sheng, Hainan
- In:
Journal of business finance & accounting : JBFA
42
(
2015
)
9/10
,
pp. 1075-1120
Persistent link: https://www.econbiz.de/10011535857
Saved in:
8
Short sale constraints,
correlation
and market efficiency
Giannikos, Christos
;
Gousgounis, Eleni
- In:
The B.E. journal of theoretical economics
18
(
2018
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011897950
Saved in:
9
On the existence of moments : with an application to German stock returns
Runde, Ralf
;
Scheffner, Axel
-
1998
Persistent link: https://www.econbiz.de/10000672982
Saved in:
10
Volatility and GMM : Monte Carlo studies and empirical estimations
Nagel, Hartmut
;
Schöbel, Rainer
- In:
Statistical papers
40
(
1999
)
3
,
pp. 297-321
Persistent link: https://www.econbiz.de/10001401125
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