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Improved covariance matrix estimation for portfolio risk measurement : a review

Sun, Ruili; Ma, Tiefeng; Liu, Shuangzhe; Sathye, Milind - In: Journal of risk and financial management : JRFM 12 (2019) 1/48, pp. 1-34

The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research. This paper provides a literature review of the characteristics of...

Persistent link: https://www.econbiz.de/10012022252

Efficiency comparisons between two estimators based on matrix determinant Kantorovich-type inequalities

Liu, Shuangzhe - In: Metrika : international journal for theoretical and … 51 (2000) 2, pp. 145-155

Persistent link: https://www.econbiz.de/10001521194

On local influence for elliptical linear models

Liu, Shuangzhe - In: Statistical papers 41 (2000) 2, pp. 211-224

Persistent link: https://www.econbiz.de/10001497749

A double length regression computation method for the 2SGLS estimator of rational expectations models

Ma, Yue - In: Oxford bulletin of economics and statistics 58 (1996) 2, pp. 423-429

Persistent link: https://www.econbiz.de/10001201673

Matrix-trace Cauchy-Schwarz inequalities and applications in canonical correlation analysis

Liu, Shuangzhe - In: Statistical papers 36 (1995) 4, pp. 287-298

Persistent link: https://www.econbiz.de/10001192109

Special issue on financial derivatives

Liu, Shuangzhe (contributor) - 2011

Persistent link: https://www.econbiz.de/10009388929

Some statistical properties of Hadamard products of random matrices

Neudecker, Heinz; Liu, Shuangzhe - In: Statistical papers 42 (2001) 4, pp. 475-487

Persistent link: https://www.econbiz.de/10001615632

Statistical properties of the Hadamard product of random vectors

Neudecker, Heinz; Liu, Shuangzhe - In: Statistical papers 42 (2001) 4, pp. 529-533

Persistent link: https://www.econbiz.de/10001615635

On estimation in conditional heteroskedastic time series models under non-normal distributions

Liu, Shuangzhe; Heyde, Chris C. - In: Statistical papers 49 (2008) 3, pp. 455-469

Persistent link: https://www.econbiz.de/10003715360

Predicting bank failures : a synthesis of literature and directions for future research

Liu, Li Xian; Liu, Shuangzhe; Sathye, Milind - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-24

Risk management has been a topic of great interest to Michael McAleer. Even as recent as 2020, his paper on risk management for COVID-19 was published. In his memory, this article is focused on bankruptcy risk in financial firms. For financial institutions in particular, banks are considered...

Persistent link: https://www.econbiz.de/10012745256