Narrow search
Showing 101 - 110 of 660,174
Cover Image
Modeling and forecasting of realized covariance matrices of asset returns using state-space models
Hartkopf, Jan Patrick - 2021
Persistent link: https://www.econbiz.de/10013264907
Cover Image
Correlated daily time series and forecasting in the M4 competition
Ingel, Anti; Shahroudi, Novin; Kängsepp, Markus; … - In: International journal of forecasting 36 (2020) 1, pp. 121-128
Persistent link: https://www.econbiz.de/10012406073
Cover Image
Correlation analysis of forecasting methods : the case of the M4 competition
Agathangelou, Pantelis; Trihinas, Demetris; Katakis, Ioannis - In: International journal of forecasting 36 (2020) 1, pp. 212-216
Persistent link: https://www.econbiz.de/10012414644
Cover Image
A dynamic conditional approach to portfolio weights forecasting
Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020
Persistent link: https://www.econbiz.de/10012418423
Cover Image
Can machine learning-based portfolios outperform traditional risk-based portfolios? : the need to account for covariance misspecification
Jain, Prayut; Jain, Shashi - In: Risks : open access journal 7 (2019) 3/74, pp. 1-27
theory and machine learning to build a diversified portfolio. Like the traditional risk-based allocation methods, HRP is also …
Persistent link: https://www.econbiz.de/10012127594
Cover Image
On the use of spectral value decomposition for the construction of composite indices
Farnia, Luca - 2019
High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...
Persistent link: https://www.econbiz.de/10011999119
Cover Image
Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 54 (2019), pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
Cover Image
Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
Cover Image
Determinants of asymmetric return comovements of gold and other financial assets
Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 47 (2016), pp. 229-242
Persistent link: https://www.econbiz.de/10011624131
Cover Image
On portfolio optimization : forecasting asset covariances and variances based on multi-scale risk models
Berger, Theo; Fieberg, Christian - In: Journal of risk finance : the convergence of financial … 17 (2016) 3, pp. 295-309
Persistent link: https://www.econbiz.de/10011628354