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Should (co)jump variation be included in asset allocation?
Chen, Zirong; Lin, Haonan; Zheng, Xu - In: Applied economics letters 29 (2022) 20, pp. 1868-1875
Persistent link: https://www.econbiz.de/10013412321
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A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng; Xu, Wen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
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Weighted least squares realized covariation estimation
Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
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Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras; Parolya, Nestor; Thorsén, Erik - In: Finance research letters 54 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
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Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca; Zhao, Zhao - In: Journal of empirical finance 72 (2023), pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
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Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
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Asset return prediction and covariance matrix estimation for portfolio selection in large dimensions
De Nard, Gianluca - 2021
Persistent link: https://www.econbiz.de/10012806177
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Reactive global minimum variance portfolios with k-BAHC covariance cleaning
Bongiorno, Christian; Challet, Damien - In: The European journal of finance 28 (2022) 13/15, pp. 1344-1360
Persistent link: https://www.econbiz.de/10013532213
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Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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A portfolio optimization approach with a large number of assets : applications to the US and Korean stock markets
Lee, Miyoung; Kim, Jihun; Oh, Sekyung - In: Asia-Pacific journal of financial studies 47 (2018) 5, pp. 634-659
Persistent link: https://www.econbiz.de/10012009595