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  • Search: subject:"Blocked Realized Kernel"
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Year of publication
Subject
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blocked realized kernel 6 covariance prediction 6 portfolio optimization 6 spectral decomposition 6 Korrelation 4 Portfolio-Management 4 Prognoseverfahren 4 Theorie 4 Zeitreihenanalyse 4 regularization 4 Analysis of variance 2 Blocked Realized Kernel 2 Capital income 2 Correlation 2 Covariance Prediction 2 Decomposition method 2 Dekompositionsverfahren 2 Factor Model 2 Forecasting model 2 Kapitaleinkommen 2 Mixing Frequencies 2 Portfolio Optimization 2 Portfolio selection 2 Spectral Decomposition 2 Theory 2 Time series analysis 2 Varianzanalyse 2 Volatility 2 Volatilität 2 factor model 2 mixing frequencies 2
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Online availability
All
Free 7
Type of publication
All
Book / Working Paper 7 Article 1
Type of publication (narrower categories)
All
Working Paper 4 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 5 Undetermined 3
Author
All
Hautsch, Nikolaus 8 Malec, Peter 8 Kyj, Lada M. 6 Kyj, Lada. M. 2
Institution
All
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Center for Financial Studies 1
Published in...
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SFB 649 Discussion Paper 2 SFB 649 Discussion Papers 2 CFS Working Paper 1 CFS Working Paper Series 1 Journal of applied econometrics 1 SFB 649 discussion paper 1
Source
All
EconStor 3 RePEc 3 ECONIS (ZBW) 2
Showing 1 - 8 of 8
Cover Image
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013
a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting …
Persistent link: https://www.econbiz.de/10010318770
Saved in:
Cover Image
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting …
Persistent link: https://www.econbiz.de/10010617848
Saved in:
Cover Image
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013
a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting …
Persistent link: https://www.econbiz.de/10009714536
Saved in:
Cover Image
The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel …
Persistent link: https://www.econbiz.de/10010308574
Saved in:
Cover Image
The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10010281594
Saved in:
Cover Image
The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Center for Financial Studies - 2011
allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel …
Persistent link: https://www.econbiz.de/10010958793
Saved in:
Cover Image
The Merit of High-Frequency Data in Portfolio Allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10010587713
Saved in:
Cover Image
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of applied econometrics 30 (2015) 2, pp. 263-290
Persistent link: https://www.econbiz.de/10011327609
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