Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns
Simon Hediger, Jeffrey Näf
| Year of publication: |
2024
|
|---|---|
| Authors: | Hediger, Simon ; Näf, Jeffrey |
| Subject: | Heavy tails | High dimensional | Mixture distribution | Nonlinear shrinkage | Portfolio optimization | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Nichtlineare Regression | Nonlinear regression | Schätztheorie | Estimation theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101489 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014578530