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Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model
Bodnar, Taras; Gupta, Arjun K. - In: The European journal of finance 21 (2015) 13/15, pp. 1176-1194
Persistent link: https://www.econbiz.de/10011419827
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Statistical inference procedure for the mean-variance efficient frontier with estimated parameters
Bodnar, Olha; Bodnar, Taras - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 3, pp. 295-306
Persistent link: https://www.econbiz.de/10003888645
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Statistical inference of the efficient frontier for dependent asset returns
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Statistical papers 50 (2009) 3, pp. 593-604
Persistent link: https://www.econbiz.de/10003844054
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The distribution of the global minimum variance estimator in elliptical models
Bodnar, Taras; Schmid, Wolfgang - 2003
Persistent link: https://www.econbiz.de/10001916051
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A test for the weights of the global minimum variance portfolio in an elliptical model
Bodnar, Taras; Schmid, Wolfgang - 2004
Persistent link: https://www.econbiz.de/10001916052
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
Persistent link: https://www.econbiz.de/10012603081
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Bayesian estimation of the global minimum variance portfolio
Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: European journal of operational research : EJOR 256 (2017) 1, pp. 292-307
Persistent link: https://www.econbiz.de/10011611271
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Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 266 (2018) 1, pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
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Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras; Parolya, Nestor; Thorsén, Erik - In: Finance research letters 54 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845
Persistent link: https://www.econbiz.de/10014448443