The effects of high dimensional covariance matrix estimation on asset pricing and generalized least squares
Year of publication: |
2010-06-23
|
---|---|
Authors: | Kim, Soo-Hyun |
Publisher: |
Georgia Institute of Technology |
Subject: | Covariance matrix estimation | High dimension | Analysis of covariance | Capital assets pricing model | Risk |
-
Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras, (2018)
-
Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis, (2020)
-
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi, (2021)
- More ...
-
Tactical Asset Allocation and Stock Issuance in the Korean Stock Market
Eom, Chanyoung, (2013)
-
Kim, Soo-hyun,
-
Currency competition between the dollar and euro: Evidence from exchange rate behaviors
Eun, Cheol S., (2015)
- More ...