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Robust methods for high-dimensional regression and covariance matrix estimation
Avella-Medina, Marco - In: Macroeconomic forecasting in the era of big data : …, (pp. 625-653). 2020
-estimators and adapt it to handle the problems of high-dimensional regression and covariance matrix estimation via regularization …. For the former problem we show that penalized M-estimators for high-dimensional generalized linear models can lead to … stable in the presence of a small fraction of outliers. For the problem of covariance estimation we show that M-estimators be …
Persistent link: https://www.econbiz.de/10012160040
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A comparison of estimation techniques for the Covariance matrix in a fixed-income framework
Neffelli, Marco; Resta, Marina - In: New methods in fixed income modeling : fixed income modeling, (pp. 99-115). 2018
Persistent link: https://www.econbiz.de/10012011581
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Three non-Gaussian models of dependence in returns
Madan, Dilip B. - In: Advanced modelling in mathematical finance : in honour …, (pp. 107-130). 2016
Persistent link: https://www.econbiz.de/10011800343
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Estimation of correlation between latent processes
Kimura, Akitoshi; Yoshida, Nakahiro - In: Advanced modelling in mathematical finance : in honour …, (pp. 131-146). 2016
Persistent link: https://www.econbiz.de/10011800345
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Object selection in credit scoring using covariance matrix of parameters estimations
Aduenko, Alexander A.; Mortenko, Anastasia P.; Strijov, … - In: Advances of OR in commodities and financial modeling, (pp. 3-21). 2018
Persistent link: https://www.econbiz.de/10011871324
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Estimation of default probabilities and default correlations
Huschens, Stefan; Vogl, Konstantin; Wania, Robert - In: Risk management : challenge and opportunity ; with 125 …, (pp. 239-258). 2005
Persistent link: https://www.econbiz.de/10002447683
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Realized volatility and correlation estimators under non-Gaussian microstructure noise
Safari, Amir; Sun, Wei; Seese, Detlef G.; Račev, … - In: Economic dynamics : theory, games and empirical studies, (pp. 171-197). 2009
Persistent link: https://www.econbiz.de/10003867880
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Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity
Ubukata, Masato; Oya, Kosuke - In: Recent advances in financial engineering : proceedings …, (pp. 201-218). 2009
Persistent link: https://www.econbiz.de/10003871191
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Estimating mixed frequency data : stochastic interpolation with preserved covariance structure
Trovik, Tørres G.; Kane-Janus, Couro - In: Interest rate models, asset allocation and quantitative …, (pp. 325-336). 2010
Persistent link: https://www.econbiz.de/10003940954
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Estimating mixed frequency data : stochastic interpolation with preserved covariance structure
Trovik, Tørres G.; Kane-Janus, Couro - In: Interest rate models, asset allocation and quantitative …, (pp. 325-336). 2010
Persistent link: https://www.econbiz.de/10008746598