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Computation of financial risk using principal component analysis

Mavungu, Masiala - In: Algorithmic finance 10 (2023) 1/2, pp. 1-20

Persistent link: https://www.econbiz.de/10014474552

When "time varying" volatility meets "transaction cost" in portfolio selection

Qiao, W.; Bu, Di; Gibberd, Alex J.; Liao, Yin; Wen, Ting; … - In: Journal of empirical finance 73 (2023), pp. 220-237

Persistent link: https://www.econbiz.de/10014477015

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

A modified reweighted fast consistent and high-breakdown estimator for high-dimensional datasets

Baba, Ishaq A.; Midi, Habshah; June, Leong W.; Gafurjan … - In: Decision analytics journal 10 (2024), pp. 1-11

Outlier detection and classification algorithms play a critical role in statistical analysis. The reweighted fast consistent and high breakdown point (RFCH) estimator is an outlier-resistant estimator of multivariate location and dispersion. Still, some difficulties hamper the application of the...

Persistent link: https://www.econbiz.de/10014543490

Unrestricted, restricted, and regularized models for forecasting multivariate volatility

Anatolyev, Stanislav; Staněk, Filip - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 2, pp. 199-218

Persistent link: https://www.econbiz.de/10014288890

Bayesian estimation of cluster covariance matrices of unknown form

Creal, Drew; Kim, Jaeho - In: Journal of econometrics 241 (2024) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10015075138

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

Improving minimum-variance portfolio through shrinkage of large covariance matrices

Shi, Fangquan; Shu, Lianjie; He, Fangyi; Huang, Wenpo - In: Economic modelling 144 (2025), pp. 1-16

Persistent link: https://www.econbiz.de/10015193796

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

correlation MSV model, the conditional/stochastic Wishart autoregressive models, the matrix-exponential MSV model, and the … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the …

Persistent link: https://www.econbiz.de/10010259630

Some results for extreme value processes in analogy to the Gaussian spectral representation

Ehlert, Andree; Schlather, Martin - 2010

before. We show, for the one-dimensional case, the equivalence of the set correlation functions and the extremal coefficient …

Persistent link: https://www.econbiz.de/10010336338