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Advances in estimating covariance matrices

Menchero, Jose; Ji, Lei - In: Journal of investment management : JOIM 19 (2021) 3, pp. 60-80

Persistent link: https://www.econbiz.de/10013041084

Forecasting volatility using double shrinkage methods

Cheng, Mingmian; Swanson, Norman R.; Yang, Xiye - In: Journal of empirical finance 62 (2021), pp. 46-61

Persistent link: https://www.econbiz.de/10012693319

Inference on a distribution from noisy draws

Jochmans, Koen; Weidner, Martin - 2019

Persistent link: https://www.econbiz.de/10012703101

Clustering dynamics and persistence for financial multivariate panel data

João, Igor Custodio; Lucas, André; Schaumburg, Julia - 2021

-sectional clustering techniques using shrinkage towards previous cluster means. In this way, the different cross-sections in the panel are …

Persistent link: https://www.econbiz.de/10012510678

The robustness of forecast combination in unstable environments : a Monte Carlo study of advanced algorithms

Zhao, Yongchen - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 173-199

Persistent link: https://www.econbiz.de/10012585892

Inducing sparsity and shrinkage in time-varying parameter models

Huber, Florian; Koop, Gary; Onorante, Luca - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 669-683

Persistent link: https://www.econbiz.de/10012588006

Correlation shrinkage : implications for risk forecasting

Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108

Persistent link: https://www.econbiz.de/10012589102

The influence of peers in worker misconduct : evidence from restaurant theft

Chan, Tat; Chen, Yijun; Pierce, Lamar; Snow, Daniel - In: Manufacturing & service operations management : M & SOM 23 (2021) 4, pp. 952-973

Persistent link: https://www.econbiz.de/10012627417

Model selection and post selection to improve the estimation of the ARCH model

Al-Momani, Marwan; Dawod, Abdaljbbar B. A. - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-17

The Autoregressive Conditionally Heteroscedastic (ARCH) model is useful for handling volatilities in economical time series phenomena that ARIMA models are unable to handle. The ARCH model has been adopted in many applications that contain time series data such as financial market prices,...

Persistent link: https://www.econbiz.de/10013273041

On the aggregation of probability assessments : regularized mixtures of predictive densities for eurozone inflation and real interest rates

Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021

Persistent link: https://www.econbiz.de/10013206037