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subject:"Regressionsanalyse"
~isPartOf:"Journal of econometrics"
~subject:"Portfolio selection"
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Search: subject_exact:"Korrelationskoeffizient"
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Regressionsanalyse
Portfolio selection
Correlation
108
Korrelation
108
Estimation theory
51
Schätztheorie
51
Theorie
32
Theory
32
Time series analysis
25
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18
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Andrews, Donald W. K.
1
Bollerslev, Tim
1
Chan, Kung-sik
1
Chan, Thomas W. C.
1
Chen, Xin
1
Chu, Amanda M. Y.
1
Dai, Chaoxing
1
Dardanoni, Valentino
1
Fan, Jianqing
1
Fan, Yingying
1
Feng, Phoenix
1
Forchini, Giovanni
1
Hafner, Christian M.
1
Hoderlein, Stefan
1
Hollstein, Fabian
1
Jarjour, Riad
1
Juodis, Artūras
1
Karabiyik, Hande
1
Kastner, Gregor
1
Kock, Anders Bredahl
1
Lam, Clifford
1
Linton, Oliver
1
Lu, Kun
1
Lv, Jinchi
1
Modica, Salvatore
1
Paolella, Marc S.
1
Patton, Andrew J.
1
Peracchi, Franco
1
Polak, Pawel
1
Quaedvlieg, Rogier
1
Shen, Haipeng
1
Sherman, Robert P.
1
So, Mike Ka-pui
1
Tang, Haihan
1
Walker, Patrick S.
1
Wang, Dong
1
Wese Simen, Chardin
1
Westerlund, Joakim
1
Xia, Yin
1
Xiu, Dacheng
1
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Journal of econometrics
Finance research letters
26
Journal of banking & finance
22
International review of financial analysis
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Journal of empirical finance
14
Applied economics
12
International review of economics & finance : IREF
12
The journal of asset management
11
Research in international business and finance
10
Computational economics
9
Economics letters
9
Journal of financial econometrics
9
The review of financial studies
9
Working paper series / University of Zurich, Department of Economics
9
Journal of international financial markets, institutions & money
8
Quantitative finance
8
Applied economics letters
7
Discussion paper / Tinbergen Institute
7
Economic modelling
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
European journal of operational research : EJOR
7
International journal of forecasting
7
Financial markets and portfolio management
6
Journal of economic dynamics & control
6
Journal of risk
6
Journal of risk and financial management : JRFM
6
NBER Working Paper
6
NBER working paper series
6
Risks : open access journal
6
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
6
The North American journal of economics and finance : a journal of financial economics studies
6
The journal of alternative investments
6
CEMMAP working papers / Centre for Microdata Methods and Practice
5
Discussion papers / CEPR
5
Journal of forecasting
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
The journal of portfolio management : a publication of Institutional Investor
5
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Working paper / National Bureau of Economic Research, Inc.
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ECONIS (ZBW)
17
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1
Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Chen, Xin
;
Yang, Dan
;
Yan, Xu
;
Xia, Yin
;
Wang, Dong
; …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 544-564
Persistent link: https://www.econbiz.de/10014340639
Saved in:
2
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
3
On the robustness of the pooled CCE estimator
Juodis, Artūras
;
Karabiyik, Hande
;
Westerlund, Joakim
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 325-348
Persistent link: https://www.econbiz.de/10012618517
Saved in:
4
Estimation of a multiplicative correlation structure in the large dimensional case
Hafner, Christian M.
;
Linton, Oliver
;
Tang, Haihan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 431-470
Persistent link: https://www.econbiz.de/10012482816
Saved in:
5
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:
6
Dynamic conditional angular correlation
Jarjour, Riad
;
Chan, Kung-sik
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 137-150
Persistent link: https://www.econbiz.de/10012439656
Saved in:
7
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:
8
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
9
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:
10
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
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