Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Guilherme V. Moura, André A. P. Santos, Esther Ruiz
| Year of publication: |
2020
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| Authors: | Moura, Guilherme Valle ; Santos, André A. P. ; Ruiz, Esther |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 118.2020, p. 1-13
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| Subject: | GARCH | Mean-variance portfolio | Minimum-variance portfolio | Risk-adjusted returns | Stochastic volatility | Turnover-constrained portfolios | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance | Korrelation | Correlation | CAPM | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105882 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012521005