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Statistical risk models
Kakushadze, Zura; Yu, Willie - In: The journal of investment strategies 6 (2017) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10011668127
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Testing for instability in covariance structures
Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2016
Persistent link: https://www.econbiz.de/10011687504
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A latent dynamic factor approach to forecasting multivariate stock market volatility
Gribisch, Bastian - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 621-651
Persistent link: https://www.econbiz.de/10011949857
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Optimal uncertainty size in distributionally robust inverse covariance estimation
Blanchet, Jose; Si, Nian - In: Operations research letters 47 (2019) 6, pp. 618-621
Persistent link: https://www.econbiz.de/10012131899
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Linear cholesky decomposition of covariance matrices in mixed models with correlated random effects
Rabe, Anasu; Shangodoyin, D. K.; Thaga, K. - In: Statistics in transition : an international journal of … 20 (2019) 4, pp. 59-70
induces significant correlation. Some difficulties encountered in these modelling procedures include high dimensionality and …
Persistent link: https://www.econbiz.de/10012158155
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Multivariate analysis of cryptocurrencies
Candila, Vincenzo - In: Econometrics : open access journal 9 (2021) 3, pp. 1-17
Correlation (DCC) model. In particular, we introduced the Double Asymmetric GARCH–MIDAS model in the DCC framework. …
Persistent link: https://www.econbiz.de/10012594128
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Autoregressive spatial spectral estimates
Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 80-95
Persistent link: https://www.econbiz.de/10011974618
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Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Chen, Xin; Yang, Dan; Yan, Xu; Xia, Yin; Wang, Dong; … - In: Journal of econometrics 232 (2023) 2, pp. 544-564
Persistent link: https://www.econbiz.de/10014340639
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The informativeness of risk factor disclosures : estimating the covariance matrix of stock returns using similarity measures
Tilmann, Lukas; Walther, Martin J. - In: Journal of risk 25 (2023) 6, pp. 1-23
Persistent link: https://www.econbiz.de/10014546363
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The informativeness of risk factor disclosures : estimating the covariance matrix of stock returns using similarity measures
Tilmann, Lukas; Walther, Martin J. - In: Journal of risk : JOR 25 (2023) 6, pp. 1-23
Persistent link: https://www.econbiz.de/10014487222