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Search: subject:"Covariance estimation"
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Covariance estimation
21
Korrelation
19
Correlation
18
Schätztheorie
16
Estimation theory
14
covariance estimation
14
Portfolio selection
9
Portfolio-Management
9
Varianzanalyse
9
Schätzung
8
Capital income
7
Kapitaleinkommen
7
Theorie
7
Analysis of variance
6
Estimation
6
Covariance Estimation
4
Epps effect
4
Regularization
4
Theory
4
Bayesian inference
3
Börsenkurs
3
Forecasting model
3
Market microstructure
3
Prognoseverfahren
3
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3
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3
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asset allocation
3
estimation uncertainty
3
microstructure
3
model risk
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portfolio optimization
3
Aktienmarkt
2
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2
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2
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2
Blocking
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English
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Hautsch, Nikolaus
4
Kyj, Lada M.
4
Guhr, Thomas
3
Münnix, Michael C.
3
Papailias, Fotis
3
Schubiger, Urs
3
Schäfer, Rudi
3
Stefanovits, David
3
Wüthrich, Mario V.
3
Maynard, Alex
2
Oomen, Roel C.A.
2
Shimotsu, Katsumi
2
Thomakos, Dimitrios D.
2
Aboutaleb, Youssef M.
1
Aguilera, Ana
1
Alvarez, Lilian Muñiz
1
Auer, Benjamin R.
1
Ben-Akiva, Moshe Emanuel
1
Biørn, Erik
1
Bouriga, Mathilde
1
Breitig, Marco
1
Calice, Giovanni
1
Camejo, Dunia
1
Chen, Jing
1
Chen, Xiaohong
1
Cheng, Guang
1
Chi, Eric C.
1
Cho, S.H.
1
Crossland, Craig
1
Cui, Liyuan
1
Danaf, Mazen
1
Elogne, S.
1
Elvira, Mancino Maria
1
Escabias, Manuel
1
Fang, Zheng
1
Fiebig, Denzil
1
Filipović, Damir
1
Féron, Olivier
1
GUHR, THOMAS
1
Gerard, David
1
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Center for Financial Studies
1
Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze
1
Economics Department, Queen's University
1
Rimini Centre for Economic Analysis (RCEA)
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Université Paris-Dauphine (Paris IX)
1
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Physica A: Statistical Mechanics and its Applications
3
Computational Statistics & Data Analysis
2
Financial markets and portfolio management
2
Journal of Multivariate Analysis
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Risks
2
CFS Working Paper
1
CFS Working Paper Series
1
Computational Statistics
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Econometric Reviews
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Economics Letters
1
Economics Papers from University Paris Dauphine
1
Economics letters
1
European journal of operational research : EJOR
1
Financial Markets and Portfolio Management
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of forecasting
1
International journal of production economics
1
International journal of theoretical and applied finance
1
Journal of Economics and Finance
1
Journal of econometrics
1
Journal of financial econometrics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Memorandum
1
Quantitative Marketing and Economics
1
Queen's Economics Department Working Paper
1
Research paper series / Swiss Finance Institute
1
Risks : open access journal
1
SFB 649 Discussion Paper
1
SFB 649 Discussion Papers
1
Stata Journal
1
Statistical Applications in Genetics and Molecular Biology
1
Statistical Inference for Stochastic Processes
1
Statistical Methods and Applications
1
Statistics & Probability Letters
1
Strategic management journal
1
The European journal of finance
1
The econometrics journal
1
Working Paper Series / Rimini Centre for Economic Analysis (RCEA)
1
Working Papers - Mathematical Economics
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RePEc
26
ECONIS (ZBW)
19
EconStor
5
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1
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1
Cross validation based transfer learning for cross-sectional non-linear shrinkage : a data-driven approach in portfolio optimization
Mörstedt, Torsten
;
Lutz, Bernhard
;
Neumann, Dirk
- In:
European journal of operational research : EJOR
318
(
2024
)
2
,
pp. 670-685
Persistent link: https://www.econbiz.de/10015048040
Saved in:
2
Fundamental properties of linear factor models
Filipović, Damir
;
Schneider, Paul
-
2024
Persistent link: https://www.econbiz.de/10015102037
Saved in:
3
Optimal versus naive diversification in commodity futures markets
Heide, Max
;
Auer, Benjamin R.
;
Schuhmacher, Frank
-
2025
Persistent link: https://www.econbiz.de/10015376385
Saved in:
4
A regularized high-dimensional positive definite covariance estimator with high-frequency data
Cui, Liyuan
;
Hong, Yongmiao
;
Li, Yingxing
;
Wang, Junhui
- In:
Management science : journal of the Institute for …
70
(
2024
)
10
,
pp. 7242-7264
Persistent link: https://www.econbiz.de/10015143872
Saved in:
5
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
6
Post-processed posteriors for sparse covariances
Lee, Kwangmin
;
Lee, Jaeyong
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014332347
Saved in:
7
Non-commutative probability theory and applications in financet
Breitig, Marco
-
2020
Persistent link: https://www.econbiz.de/10012418797
Saved in:
8
Unified principal component analysis for sparse and dense functional data under spatial dependency
Zhang, Haozhe
;
Li, Yehua
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1523-1537
Persistent link: https://www.econbiz.de/10013540369
Saved in:
9
Stochastic coherency in forecast reconciliation
Pritularga, Kandrika F.
;
Svetunkov, Ivan
;
Kourentzes, …
- In:
International journal of production economics
240
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012629891
Saved in:
10
Sparse
covariance
estimation
in logit mixture models
Aboutaleb, Youssef M.
;
Danaf, Mazen
;
Xie, Yifei
; …
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 377-398
Persistent link: https://www.econbiz.de/10012620708
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