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subject:"Portfolio selection"
~isPartOf:"Journal of econometrics"
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Search: subject_exact:"Analysis of covariance"
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Portfolio selection
Analysis of variance
36
Varianzanalyse
36
Estimation theory
19
Schätztheorie
19
Volatility
17
Volatilität
17
Correlation
16
Korrelation
16
Time series analysis
13
Zeitreihenanalyse
13
Theorie
12
Theory
12
Estimation
10
Schätzung
10
Forecasting model
9
Portfolio-Management
9
Prognoseverfahren
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Capital income
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Kapitaleinkommen
8
Market microstructure
8
Marktmikrostruktur
8
Noise Trading
6
Noise trading
6
Börsenkurs
5
High frequency data
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Minimum variance portfolio
5
Share price
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Statistical test
5
Statistischer Test
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Factor analysis
4
Faktorenanalyse
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High-frequency data
4
Induktive Statistik
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Martingal
4
Martingale
4
Realized variance
4
Statistical distribution
4
Statistical inference
4
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Li, Yingying
2
Zheng, Xinghua
2
Bollerslev, Tim
1
Cai, T. Tony
1
Dai, Chaoxing
1
Ding, Yi
1
Feng, Phoenix
1
Francq, Christian
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Hollstein, Fabian
1
Hu, Jianchang
1
Kastner, Gregor
1
Lam, Clifford
1
Lu, Kun
1
Patton, Andrew J.
1
Pelger, Markus
1
Quaedvlieg, Rogier
1
Wese Simen, Chardin
1
Xiu, Dacheng
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Journal of econometrics
Journal of empirical finance
10
European journal of operational research : EJOR
8
Working paper series / University of Zurich, Department of Economics
7
Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Journal of banking & finance
5
Journal of financial econometrics
5
Finance research letters
4
International journal of theoretical and applied finance
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Quantitative finance
4
Working paper
4
Financial markets and portfolio management
3
Insurance / Mathematics & economics
3
Operations research letters
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Advances in statistical analysis : AStA ; a journal of the German Statistical Society
2
Annals of finance
2
Applied economics
2
Applied economics letters
2
Computational Management Science : CMS
2
Discussion papers in statistics and econometrics
2
Finance India : the quarterly journal of Indian Institute of Finance
2
Finanz- und Rechnungswesen
2
International journal of financial engineering
2
International journal of forecasting
2
Investmentmodelle für das Asset-liability-Modelling von Versicherungsunternehmen : Abschlussbericht der Themenfeldgruppe Investmentmodelle
2
Journal of investment management : JOIM
2
Journal of risk and financial management : JRFM
2
Mathematics and financial economics
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Reihe Quantitative Ökonomie : Ökon
2
Research notes in economics & statistics
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Research paper series / Swiss Finance Institute
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SFB 649 discussion paper
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The European journal of finance
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The journal of asset management
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The journal of computational finance
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The review of financial studies
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22-334
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65th Anniversary Conference of the Institute of Economics : Zagreb, November 18 - 19, 2004; proceedings
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1
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
2
High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony
;
Hu, Jianchang
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
Saved in:
3
Variance risk : a bird's eye view
Hollstein, Fabian
;
Wese Simen, Chardin
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
Saved in:
4
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
5
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
6
Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
Saved in:
7
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
8
A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford
;
Feng, Phoenix
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
Saved in:
9
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
Saved in:
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