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A new method for better portfolio investment : a case of the Korean stock market
Eom, Cheoljun; Park, Jong Won - In: Pacific-Basin finance journal 49 (2018), pp. 213-231
Persistent link: https://www.econbiz.de/10012117694
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Moment component analysis : an illustration with international stock markets
Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 576-598
Persistent link: https://www.econbiz.de/10012249215
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Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices
Ledoit, Olivier - 2018
This paper establishes the first analytical formula for optimal nonlinear shrinkage of large-dimensional covariance matrices. We achieve this by identifying and mathematically exploiting a deep connection between nonlinear shrinkage and nonparametric estimation of the Hilbert transform of the...
Persistent link: https://www.econbiz.de/10012932617
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Characterizing correlation matrices that admit a clustered factor representation
Tong, Chen; Hansen, Peter Reinhard - In: Economics letters 233 (2023), pp. 1-4
Persistent link: https://www.econbiz.de/10014506906
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Correlation structure analysis of the global agricultural futures market
Dai, Yun-Shi; Ngoc Quang Anh Huynh; Zheng, Qing-Huan; … - In: Research in international business and finance 61 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014246883
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A canonical representation of block matrices with applications to covariance and correlation matrices
Archakov, Ilya; Hansen, Peter Reinhard - In: The review of economics and statistics 106 (2024) 4, pp. 1099-1113
Persistent link: https://www.econbiz.de/10015046494
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High Dimensional Correlation Matrices : CLT and Its Applications
Gao, Jiti - 2014
Statistical inferences for sample correlation matrices are important in high dimensional data analysis. Motivated by … sample correlation matrices for the case where the dimension <I>p</I> and the sample size <I>n</I> are comparable. This …
Persistent link: https://www.econbiz.de/10013044383
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Network models to improve robot advisory portfolios
Giudici, Paolo; Polinesi, Gloria; Spelta, Alessandro - In: Risk management decisions and value under uncertainty, (pp. 965-989). 2022
Persistent link: https://www.econbiz.de/10013342079
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Completion time variance and the product rate variation problem
Renganathan, Amrutha; Srinivasan, G. - In: International journal of services and operations … 41 (2022) 1/2, pp. 102-113
Persistent link: https://www.econbiz.de/10013257442
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Econometric analysis of realised volatility and its use in estimating Lévy based non-Gaussian OU type stochastic volatility models
Barndorff-Nielsen, Ole E. (contributor);  … - 2000 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001533130