Narrow search
Showing 11 - 20 of 689,155
Cover Image
The value of forecasts : quantifying the economic gains of accurate quarter-hourly electricity price forecasts
Kath, Christopher; Ziel, Florian - In: Energy economics 76 (2018), pp. 411-423
Persistent link: https://www.econbiz.de/10011976692
Cover Image
Robust minimum variance portfolio with L-infinity constraints
Xing, Xin; Hu, Jinjin; Yang, Yaning - In: Journal of banking & finance 46 (2014), pp. 107-117
Persistent link: https://www.econbiz.de/10010467839
Cover Image
High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 214 (2020) 2, pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
Cover Image
Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor - In: Journal of econometrics 210 (2019) 1, pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
Cover Image
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Cover Image
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Cover Image
A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
Cover Image
Eigenportfolios of US equities for the exponential correlation model
Akansu, Ali N.; Xiong, Anqi - In: The journal of investment strategies 9 (2020) 1, pp. 55-77
Persistent link: https://www.econbiz.de/10012597129
Cover Image
Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...
Persistent link: https://www.econbiz.de/10012316010
Cover Image
An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William; Broby, Daniel - In: Quantitative finance 23 (2023) 3, pp. 521-537
Persistent link: https://www.econbiz.de/10014232686