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~person:"Hartkopf, Jan Patrick"
~person:"Schmid, Wolfgang"
~subject:"Statistische Verteilung"
~subject:"Theorie"
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Hartkopf, Jan Patrick
Schmid, Wolfgang
Herwartz, Helmut
10
Ledoit, Olivier
10
Wolf, Michael
10
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8
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
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1
Modeling and forecasting of realized covariance matrices of asset returns using state-space models
Hartkopf, Jan Patrick
-
2021
Persistent link: https://www.econbiz.de/10013264907
Saved in:
2
Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model
Gribisch, Bastian
;
Hartkopf, Jan Patrick
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014434377
Saved in:
3
Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian
;
Hartkopf, Jan Patrick
;
Liesenfeld, Roman
- In:
Journal of empirical finance
55
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012175249
Saved in:
4
Statistical inference of the efficient frontier for dependent asset returns
Bodnar, Taras
;
Schmid, Wolfgang
;
Zabolotskyy, Taras
- In:
Statistical papers
50
(
2009
)
3
,
pp. 593-604
Persistent link: https://www.econbiz.de/10003844054
Saved in:
5
Surveillance of the covariance matrix of multivariate nonlinear time series
Śliwa, Przemysław
;
Schmid, Wolfgang
-
2008
Persistent link: https://www.econbiz.de/10003800389
Saved in:
6
EWMA control charts for monitoring optimal portfolio weights
Golosnoy, Vasyl
;
Schmid, Wolfgang
-
2008
Persistent link: https://www.econbiz.de/10003800395
Saved in:
7
Surveillance of univariate and multivariate linear time series
Okhrin, Yarema
;
Schmid, Wolfgang
-
2007
Persistent link: https://www.econbiz.de/10003635783
Saved in:
8
Surveillance of univariate and multivariate nonlinear time series
Okhrin, Yarema
;
Schmid, Wolfgang
-
2007
Persistent link: https://www.econbiz.de/10003635784
Saved in:
9
A test for the weights of the global minimum variance portfolio in an elliptical model
Bodnar, Taras
;
Schmid, Wolfgang
-
2004
Persistent link: https://www.econbiz.de/10001916052
Saved in:
10
Surveillance of the covariance matrix of multivariate nonlinear time series
Śliwa, Przemysław
;
Schmid, Wolfgang
-
2004
Persistent link: https://www.econbiz.de/10002464163
Saved in:
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