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Beta-adjusted covariance estimation
Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021
Persistent link: https://www.econbiz.de/10012432948
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Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor - In: Journal of econometrics 210 (2019) 1, pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
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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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A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
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Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio
Kim, Hee-Soo; Shin, Dong-wan - In: Applied economics letters 26 (2019) 8, pp. 661-668
Persistent link: https://www.econbiz.de/10012204303
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Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...
Persistent link: https://www.econbiz.de/10012316010
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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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Time-varying minimum variance portfolio
Fan, Qingliang; Wu, Ruike; Yang, Yanrong; Zhong, Wei - In: Journal of econometrics 239 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015074503
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Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10011588856
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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012819586