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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10011691256
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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
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Incorporating global industrial classification standard into portfolio allocation : a simple factor-based large covariance matrix : estimator with high-frequency data
Fan, Jianqing; Furger, Alex; Xiu, Dacheng - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 489-503
Persistent link: https://www.econbiz.de/10011692389
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Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Lunde, Asger; Shephard, Neil G.; Sheppard, Kevin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 504-518
Persistent link: https://www.econbiz.de/10011692391
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The benefits of improved covariance estimation
Turtle, Harry J.; Wang, Kainan - In: Journal of empirical finance 37 (2016), pp. 233-246
Persistent link: https://www.econbiz.de/10011663041
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011518597
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Testing super-diagonal structure in high dimensional covariance matrices
He, Jing; Chen, Song Xi - In: Journal of econometrics 194 (2016) 2, pp. 283-297
Persistent link: https://www.econbiz.de/10011705144
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Endogeneity of return parameters and portfolio selection : an analysis on implied covariances
Park, Koohyun; Rhee, Thomas - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 760-789
Persistent link: https://www.econbiz.de/10011779403
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Nonlinear shrinkage of the covariance matrix for portfolio selection : Markowitz meets Goldilocks
Ledoit, Olivier; Wolf, Michael - 2017 - Revised version
Markowitz (1952) portfolio selection requires an estimator of the covariance matrix of returns. To address this problem, we promote a nonlinear shrinkage estimator that is more flexible than previous linear shrinkage estimators and has just the right number of free parameters (that is, the...
Persistent link: https://www.econbiz.de/10011598583
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2017 - Revised version
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011640555