Search Results - subject:"Covariance matrix"

Multivariate fractional components analysis

Hartl, Tobias; Weigand, Roland - 2019

Persistent link: https://www.econbiz.de/10011962831

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

Reactive global minimum variance portfolios with k-BAHC covariance cleaning

Bongiorno, Christian; Challet, Damien - In: The European journal of finance 28 (2022) 13/15, pp. 1344-1360

Persistent link: https://www.econbiz.de/10013532213

A factor-based estimation of integrated covariance matrix with noisy high-frequency data

Sun, Yucheng; Xu, Wen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 770-784

Persistent link: https://www.econbiz.de/10013534498

Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model

Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301

Persistent link: https://www.econbiz.de/10012804111

Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies

Qu, Hui; Zhang, Yi - In: Economic modelling 106 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013347668

Oops! I shrunk the sample covariance matrix again : blockbuster meets shrinkage

De Nard, Gianluca - In: Journal of financial econometrics 20 (2022) 4, pp. 569-611

Persistent link: https://www.econbiz.de/10013349144

Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2022

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Persistent link: https://www.econbiz.de/10013440073

Factor analysis regression for predictive modeling with high-dimensional data

Carter, Randy L.; Michael, Netsanet - In: Journal of quantitative economics 20 (2022), pp. 115-132

Persistent link: https://www.econbiz.de/10013441609

Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304

Persistent link: https://www.econbiz.de/10013441658

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