Search Results - subject:"Covariance matrix"

Dominating estimators for the global minimum variance portfolio

Frahm, Gabriel; Memmel, Christoph - Deutsche Bundesbank - 2009

Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return are derived. The presented results hold for any number of observations n = d 2 and number of assets d = 4. The...

Persistent link: https://www.econbiz.de/10005082766

Eigenvectors of some large sample covariance matrices ensembles

Ledoit, Olivier; Péché, Sandrine - Institut für Volkswirtschaftslehre, … - 2009

assume that the population covariance matrix is positive definite and its spectral measure almost surely converges to some … generation of improved estimators of the covariance matrix and its inverse. …

Persistent link: https://www.econbiz.de/10005627835

Using the Multivariate Data Analysis Techniques on the Insurance Market

Dedu, Vasile; Armeanu, Daniel; Enciu, Adrian - In: Journal for Economic Forecasting (2009) 4, pp. 170-179

In the present financial theory, we confront with complex economic phenomena and activities which cannot be studied or analyzed profoundly because of the plurality of existing variables, ratios and information. The economic, financial and social activity carried on under crisis or economic...

Persistent link: https://www.econbiz.de/10008561106

Large-scale portfolios using realized covariance matrix: evidence from the Japanese stock market

Ubukata, Masato - Graduate School of Economics, Osaka University - 2009

The objective of this paper is to examine effects of realized covariance matrix estimators based on intraday returns on … with different covariance matrix estimators: the realized covariance matrix estimators and Bayesian shrinkage estimators … based on the past monthly and daily returns. The main results are: (1) the realized covariance matrix estimators using the …

Persistent link: https://www.econbiz.de/10008567945

A ROBUST METHOD OF ESTIMATING COVARIANCE MATRIX IN MULTIVARIATE DATA ANALYSIS

OYEYEMI, G.M.; IPINYOMI, R.A. - In: Analele Stiintifice ale Universitatii "Alexandru Ioan … 56 (2009) November, pp. 586-601

We proposed a robust method of estimating covariance matrix in multivariate data set. The goal is to compare the …

Persistent link: https://www.econbiz.de/10008474744

A generalization of Tyler's M-estimators to the case of incomplete data

Frahm, Gabriel; Jaekel, Uwe - Seminar für Wirtschafts- und Sozialstatistik, … - 2009

Many different robust estimation approaches for the covariance or shape matrix of multivariate data have been established until today. Tyler's M-estimator has been recognized as the 'most robust' M-estimator for the shape matrix of elliptically symmetric distributed data. Tyler's Mestimators for...

Persistent link: https://www.econbiz.de/10009019659

Further results on estimation of covariance matrix

Xu, Kai; He, Daojiang - In: Statistics & Probability Letters 101 (2015) C, pp. 11-20

This paper considers the problem of estimating a covariance matrix under Stein’s loss. Sufficient conditions for the … improving the estimator of the covariance matrix. …

Persistent link: https://www.econbiz.de/10011263146

On singular value distribution of large-dimensional autocovariance matrices

Li, Zeng; Pan, Guangming; Yao, Jianfeng - In: Journal of Multivariate Analysis 137 (2015) C, pp. 119-140

+τ of the sequence, the so-called lag-τ auto-covariance matrix is Cτ=T−1∑j=1Tετ+jεjt. When the dimension p is large compared … asymptotic results on sample covariance matrices developed in random matrix theory, the case of an auto-covariance matrix is much …

Persistent link: https://www.econbiz.de/10011263460

Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions

Cai, T. Tony; Liang, Tengyuan; Zhou, Harrison H. - In: Journal of Multivariate Analysis 137 (2015) C, pp. 161-172

Differential entropy and log determinant of the covariance matrix of a multivariate Gaussian distribution have many …-dimensional setting optimal estimation of the differential entropy and the log-determinant of the covariance matrix. We first establish a … central limit theorem for the log determinant of the sample covariance matrix in the high-dimensional setting where the …

Persistent link: https://www.econbiz.de/10011263462

Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of International Money and Finance 53 (2015) C, pp. 95-114

Using a novel four-phase model based upon a conditional autoregressive Wishart framework for realized variances and covariances we quantify intra-daily volatility spillovers within and across the US, German and Japanese stock markets before and during the subprime crisis. We find significant...

Persistent link: https://www.econbiz.de/10011263954