Exponential smoothing of realized portfolio weights
Vasyl Golosnoy, Bastian Gribisch, Miriam Isabel Seifert
| Year of publication: |
2019
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|---|---|
| Authors: | Golosnoy, Vasyl ; Gribisch, Bastian ; Seifert, Miriam |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 53.2019, p. 222-237
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| Subject: | Forecast combination | Minimum variance portfolio | Realized covariance matrix | Variance change | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | 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.jempfin.2019.07.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012171651