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Ten things you should know about low-volatility investing

Vliet, Willem Nicolaas van - In: The journal of investing 20 (2011) 4, pp. 141-143

Persistent link: https://www.econbiz.de/10009672032

The Gerber Statistic : A Robust Co-Movement Measure for Portfolio Optimization

Gerber, Sander; Markowitz, Harry; Ernst, Philip; Miao, … - 2021

The purpose of this paper is to introduce the Gerber statistic, a robust co-movement measure for covariance matrix estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall's Tau by counting the proportion of simultaneous co-movements in series when their...

Persistent link: https://www.econbiz.de/10013219149

The Gerber statistic : a robust co-movement measure for portfolio optimization

Gerber, Sander; Markowitz, Harry; Ernst, Philip A.; … - In: The journal of portfolio management : JPM 48 (2022) 3, pp. 87-102

Persistent link: https://www.econbiz.de/10013175439

Ten things you should know about the dynamic conditional correlation representation

Caporin, Massimiliano; McAleer, Michael - In: Econometrics : open access journal 1 (2013) 1, pp. 115-126

Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … properties; DCC is not a special case of Generalized Autoregressive Conditional Correlation (GARCC), which has testable …

Persistent link: https://www.econbiz.de/10009776381

Measuring investment skill in multi-asset strategies : an empirical study of the information coefficient as weighted rank correlation

Xia, Steve Q.; Simonian, Joseph - In: The journal of portfolio management : JPM 47 (2021) 4, pp. 135-144

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Statistical industry classification

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 3 (2016) 1, pp. 17-65

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Application of statistical methods in Internet financial information analysis

Dolinšek, Tatjana - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 43-55

use of the correlation analysis, the correlation between the IFRC and the IFR-P variables was verified, and, in the end …

Persistent link: https://www.econbiz.de/10012264995

Improving forecasting performance of realized covariance with extensions of HAR-RCOV model : statistical significance and economic value

Zhang, Yaojie; Wei, Yu; Liu, Li - In: Quantitative finance 19 (2019) 9, pp. 1425-1438

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"Throw it in as a covariate?" : common problems using measured control variables in experimental research

Piercey, M. David - In: Auditing : a journal of practice & theory 42 (2023) 2, pp. 183-205

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Deconstructing the Gerber statistic

Flint, Emlyn; Polakow, Daniel - In: Finance research letters 56 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014473719