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Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28

We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and …

Persistent link: https://www.econbiz.de/10014541693

Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - 2013

estimate the covariance matrix of the latent states through a Kalman smoother and Expectation Maximization (KEM) algorithm …

Persistent link: https://www.econbiz.de/10014173246

Aronson, David R.; Masters, Timothy - 2013 - Edition 1.20

Persistent link: https://www.econbiz.de/10013548510

Margaronis, Z. N. P.; Nath, R. B.; Metallinos, G. S.; … - In: Essays on Financial Analytics : Applications and Methods, (pp. 243-264). 2023

Persistent link: https://www.econbiz.de/10014338846

Auh, Jun Kyung; Cho, Wonho - In: Economics letters 228 (2023), pp. 1-8

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Chojnacki, Karol; Ślepaczuk, Robert - 2023

Persistent link: https://www.econbiz.de/10014308890

Bartram, Söhnke M.; Branke, Jürgen; Motahari, Mehrshad - 2020 - This revision 01 April 2020

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Glosten, Lawrence R. - 1992

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Grossman, Gene M.; Shapiro, Carl - 1986

Persistent link: https://www.econbiz.de/10000721984

Glamann, Kristof - 1958

Persistent link: https://www.econbiz.de/10000598430

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