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Inferences in panel data with interactive effects using large covariance matrices

Bai, Jushan; Liao, Yuan - In: Journal of econometrics 200 (2017) 1, pp. 59-78

Persistent link: https://www.econbiz.de/10011897698

Testing for instability in covariance structures

Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2014

Persistent link: https://www.econbiz.de/10010440730

Factor-based imputation of missing values and covariances in panel data of large dimensions

Cahan, Ercument; Bai, Jushan; Ng, Serena - In: Journal of econometrics 233 (2023) 1, pp. 113-131

Persistent link: https://www.econbiz.de/10014340963

DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations

Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955

Persistent link: https://www.econbiz.de/10014465168

Consistent Realized Covariance for Asynchronous Observations Contaminated by Market Microstructure Noise

Palandri, Alessandro - 2016

This paper proposes a consistent estimator for the realized covariance of high frequency and asynchronous assets' returns that are contaminated by microstructure noise. The main contribution is the introduction of the pseudoaggregation which transforms the observations into series with the same...

Persistent link: https://www.econbiz.de/10012999647

Some Investigations on Sampling Variance of Genetic Correlation

Wahi, S. D.; Rao, A. R. - 2012

normal as well as gamma distribution. It is observed that the empirical SE of genetic correlation, when sire effects are from … irrespective of the sample size, heritability and genetic correlation of the traits. The empirical SE of estimates of genetic … correlation are very high for lowly heritable traits for whole range of genetic correlation. The large sample approximation of SE …

Persistent link: https://www.econbiz.de/10014171255

Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models

Hartkopf, Jan Patrick - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 393-436

Persistent link: https://www.econbiz.de/10014226292

Package CovRegpy : Regularised Covariance Regression and Forecasting in Python

van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023

. These seven scripts contain the Dynamic Conditional Correlation (DCC) framework, Instantaneous Frequency Forecasting (IFF … RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on …

Persistent link: https://www.econbiz.de/10014253907

The effects of errors in means, variances, and correlations on the mean-variance framework

Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903

Persistent link: https://www.econbiz.de/10013367960

Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2022

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Persistent link: https://www.econbiz.de/10013440073