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ECONIS (ZBW)
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1
Portfolio selection based on emd denoising with correlation coefficient test criterion
Su, Kuangxi
;
Yao, Yinhong
;
Zheng, Chengli
;
Xie, Wenzhao
- In:
Computational economics
63
(
2024
)
1
,
pp. 391-421
Persistent link: https://www.econbiz.de/10014472254
Saved in:
2
Covariance model with general linear structure and divergent parameters
Fan, Xinyan
;
Lan, Wei
;
Zou, Tao
;
Tsai, Chih-Ling
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 36-48
Persistent link: https://www.econbiz.de/10014448670
Saved in:
3
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
Saved in:
4
Multi-factor default correlation model estimation : enhancement with bootstrapping
Yang, Zhihui
;
Ray Majumder, Saikat
;
Shen, Weiwei
;
Karm, …
- In:
Journal of risk : JOR
26
(
2024
)
3
,
pp. 33-48
Persistent link: https://www.econbiz.de/10014487316
Saved in:
5
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
Saved in:
6
Pooling cross-sectional and time series data for estimating causality between technological innovation, affluence and carbon dynamics : a comparative evidence from developed and de...
Shobande, Olatunji Abdul
;
Ogbeifun, Lawrence
- In:
Technological forecasting & social change : an …
187
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014326587
Saved in:
7
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
8
A dynamic conditional score model for the log correlation matrix
Hafner, Christian M.
;
Wang, Linqi
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014471519
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9
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian
;
Challet, Damien
- In:
Finance research letters
52
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
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10
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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11
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
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12
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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13
Effects of international trade on income revisited
Ma, Jiantao
- In:
Review of international economics
31
(
2023
)
4
,
pp. 1286-1302
Persistent link: https://www.econbiz.de/10014329836
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14
Post-processed posteriors for sparse covariances
Lee, Kwangmin
;
Lee, Jaeyong
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014332347
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15
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
International review of financial analysis
87
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014460484
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16
Controlling for exporter-level factors when estimating import demand elasticities
Gervais, Antoine
- In:
Economics letters
231
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014460680
Saved in:
17
Expected long-term rates of return when short-term returns are serially correlated
Mork, Knut Anton
;
Trønnes, Haakon Andreas
- In:
International review of financial analysis
88
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014462437
Saved in:
18
An analysis of the return-volume relationship in decentralised finance (DeFi)
Chu, Jeffrey
;
Chan, Stephen
;
Zhang, Yuanyuan
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 236-254
Persistent link: https://www.econbiz.de/10014424205
Saved in:
19
Correcting for informative sampling in spatial covariance estimation and kriging predictions
Schliep, Erin M.
;
Wikle, Christopher K.
;
Daw, Ranadeep
- In:
Journal of geographical systems : geographical …
25
(
2023
)
4
,
pp. 587-613
Persistent link: https://www.econbiz.de/10014425825
Saved in:
20
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
21
Some identification results in a correlated random coefficients sample selection model
Zhu, Xun
;
Jin, Zequn
- In:
Economics letters
233
(
2023
),
pp. 1-3
Persistent link: https://www.econbiz.de/10014505133
Saved in:
22
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
23
Forecasting global solar radiation using a robust regularization approach with mixture kernels
Jiang, He
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1989-2010
Persistent link: https://www.econbiz.de/10014432828
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24
Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng
;
Ai, Chunrong
;
Shi, Yanlong
;
Ying, Tingting
; …
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
Saved in:
25
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
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26
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
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27
Spatial correlation robust inference in linear regression and panel models
Müller, Ulrich K.
;
Watson, Mark W.
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1050-1064
Persistent link: https://www.econbiz.de/10014448548
Saved in:
28
Robust covariance matrix estimation for high-dimensional compositional data with application to sales data analysis
Li, Danning
;
Srinivasan, Arun
;
Chen, Qian
;
Xue, Lingzhou
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1090-1100
Persistent link: https://www.econbiz.de/10014448566
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29
Generalized covariance estimator
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1315-1327
Persistent link: https://www.econbiz.de/10014448640
Saved in:
30
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
31
Slowing of world agricultural output growth : USDA estimates
In:
Population and development review
49
(
2023
)
1
,
pp. 215-218
Persistent link: https://www.econbiz.de/10014303906
Saved in:
32
Does inflation targeting really matter? : doubly robust estimation
Gunji, Hiroshi
- In:
Applied economics letters
30
(
2023
)
12
,
pp. 1578-1581
Persistent link: https://www.econbiz.de/10014304556
Saved in:
33
Time varying dynamics of globalization effect in India
Gupta, Shikha
;
Kumar, Nand
- In:
Portuguese economic journal
22
(
2023
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10013549207
Saved in:
34
A random forest-based approach to combining and ranking seasonality tests
Ollech, Daniel
;
Webel, Karsten
- In:
Journal of econometric methods
12
(
2023
)
1
,
pp. 117-130
Persistent link: https://www.econbiz.de/10013554738
Saved in:
35
Estimating cross-industry cross-country interaction models using benchmark industry characteristics
Ciccone, Antonio
;
Papaioannou, Elias
- In:
The economic journal : the journal of the Royal …
133
(
2023
)
649
,
pp. 130-158
Persistent link: https://www.econbiz.de/10013543322
Saved in:
36
A spatial panel quantile model with unobserved heterogeneity
Ando, Tomohiro
;
Li, Kunpeng
;
Lu, Lina
- In:
Journal of econometrics
232
(
2023
)
1
,
pp. 191-213
Persistent link: https://www.econbiz.de/10013472892
Saved in:
37
Estimating the correlation between operational risk loss categories over different time horizons
Brown, Maurice L.
;
Ly, Cheng
- In:
The journal of operational risk
18
(
2023
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10014490177
Saved in:
38
Parametric conditional mean inference with functional data applied to lifetime income curves
Cho, Jin Seo
;
Phillips, Peter C. B.
;
Seo, Juwon
- In:
International economic review
63
(
2022
)
1
,
pp. 391-456
Persistent link: https://www.econbiz.de/10012820808
Saved in:
39
A dynamic Cholesky data imputation method for correlation structure consistency"
Atkins, Philip J.
;
Cummins, Mark
- In:
Applied economics letters
29
(
2022
)
4
,
pp. 311-315
Persistent link: https://www.econbiz.de/10012803529
Saved in:
40
A projective approach to conditional independence test for dependent processes
Zhou, Yeqing
;
Zhang, Yaowu
;
Zhu, Liping
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 398-407
Persistent link: https://www.econbiz.de/10012804124
Saved in:
41
The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 187-218
Persistent link: https://www.econbiz.de/10012878194
Saved in:
42
Disaggregated gravity : benchmark estimates and stylized facts from a new database
Borchert, Ingo
;
Larch, Mario
;
Shikher, Serge
;
Yotov, Yoto
- In:
Review of international economics
30
(
2022
)
1
,
pp. 113-136
Persistent link: https://www.econbiz.de/10012815830
Saved in:
43
A new approach to the relative convergence test
Kwak, Jihun
- In:
Applied economics letters
29
(
2022
)
7
,
pp. 597-603
Persistent link: https://www.econbiz.de/10013170995
Saved in:
44
Identification and estimation in a correlated random coefficients transformation model
Zhang, ZhengYu
;
Jin, Zequn
;
Mu, Beili
- In:
Econometric theory
38
(
2022
)
4
,
pp. 621-688
Persistent link: https://www.econbiz.de/10013366923
Saved in:
45
Spatial correlation robust inference
Müller, Ulrich K.
;
Watson, Mark W.
- In:
Econometrica : journal of the Econometric Society, an …
90
(
2022
)
6
,
pp. 2901-2935
Persistent link: https://www.econbiz.de/10013482329
Saved in:
46
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
Saved in:
47
Asymptotic analysis of long-term investment with two illiquid and correlated assets
Chen, Xinfu
;
Dai, Min
;
Jiang, Wei
;
Qin, Cong
- In:
Mathematical finance : an international journal of …
32
(
2022
)
4
,
pp. 1133-1169
Persistent link: https://www.econbiz.de/10013463397
Saved in:
48
Covariates distributions balancing for continuous treatment
Jiang, Qingshan
;
Xu, Li
;
Huang, Can
- In:
Economics letters
217
(
2022
),
pp. 1-4
Persistent link: https://www.econbiz.de/10013465162
Saved in:
49
Generalized, partial and canonical correlation coefficients
Vinod, Hrishikesh D.
- In:
Computational economics
60
(
2022
)
4
,
pp. 1479-1506
Persistent link: https://www.econbiz.de/10013447451
Saved in:
50
Estimating the speed of adjustment of leverage in the presence of interactive effects
Westerlund, Joakim
;
Karabiyik, Hande
;
Narayan, Paresh Kumar
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 942-960
Persistent link: https://www.econbiz.de/10013460044
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