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A generalized approach to portfolio optimization : improving performance by constraining portfolio norms
DeMiguel, Victor; Garlappi, Lorenzo; Nogales, Francisco J. - In: Management science : journal of the Institute for … 55 (2009) 5, pp. 798-812
Persistent link: https://www.econbiz.de/10003859991
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Partial correlation estimation by joint sparse regression models
Peng, Jie; Wang, Pei; Zhou, Nengfeng; Zhu, Ji - In: Journal of the American Statistical Association : JASA 104 (2009) 486, pp. 735-746
Persistent link: https://www.econbiz.de/10003885677
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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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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - 2008
Persistent link: https://www.econbiz.de/10003903350
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Realized correlation tick-by-tick
Corsi, Fulvio; Audrino, Francesco - 2007
Persistent link: https://www.econbiz.de/10003419771
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T-statistic based correlation and heterogeneity robust inference
Ibragimov, Rustam (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003480434
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Analysis of longitudinal data with semiparametric estimation of covariance function
Fan, Jianqing; Huang, Tao; Li, Runze - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 632-641
Persistent link: https://www.econbiz.de/10003490446
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A nonparametric assessment of properties of space-time covariance functions
Li, Bo; Genton, Marc G.; Sherman, Michael - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 736-744
Persistent link: https://www.econbiz.de/10003490487
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Estimating quadratic variation consistently in the presence of correlated measurement errors
Kalnina, Ilze (contributor); Linton, Oliver (contributor) - 2006
Persistent link: https://www.econbiz.de/10003375854
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Flexible dynamic consitional correlation multivariate GARCH models for asset allocation
Billio, Monica (contributor); Gobbo, Michele (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003376752