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Search: subject:"Dynamic covariance"
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Correlation
11
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11
Estimation theory
8
Schätztheorie
8
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8
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7
Dynamic covariance matrix
6
Portfolio selection
6
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Dynamic covariance
4
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3
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3
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3
MAMAR
3
Matrix-exponential transformation
3
Nichtparametrisches Verfahren
3
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3
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3
Realized conditional covariances
3
Realized stochastic covariances
3
Semiparametric estimation
3
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3
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Aktienmarkt
2
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2
Capital income
2
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Asai, Manabu
3
Chang, Chia-Lin
3
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3
Li, Degui
3
Linton, Oliver
3
McAleer, Michael
3
Chan, Thomas W. C.
1
Chen, Zhiwei
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Wu, Chun-Chou
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1
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1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
Journal of time series econometrics
1
Review of Quantitative Finance and Accounting
1
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research
1
The Journal of Real Estate Finance and Economics
1
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ECONIS (ZBW)
12
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3
BASE
1
EconStor
1
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1
Forecasting high-dimensional portfolios
Mattera, Raffaele
- In:
Journal of time series econometrics
17
(
2025
)
1
,
pp. 35-67
Persistent link: https://www.econbiz.de/10015437074
Saved in:
2
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:
3
Time-varying minimum variance portfolio
Fan, Qingliang
;
Wu, Ruike
;
Yang, Yanrong
;
Zhong, Wei
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10015074503
Saved in:
4
High-dimensional
dynamic
covariance
matrices with homogeneous structure
Ke, Yuan
;
Lian, Heng
;
Zhang, Wenyang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 96-110
Persistent link: https://www.econbiz.de/10012804090
Saved in:
5
Efficient estimation of high-dimensional
dynamic
covariance
by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
6
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
Saved in:
7
A new semiparametric estimation approach for large
dynamic
covariance
matrices with multiple conditioning variables
Chen, Jia
;
Li, Degui
;
Linton, Oliver
-
2018
-
version: October 24, 2018
Persistent link: https://www.econbiz.de/10012671372
Saved in:
8
A new semiparametric estimation approach for large
dynamic
covariance
matrices with multiple conditioning variables
Chen, Jia
;
Li, Degui
;
Linton, Oliver
-
2018
-
Version: October 24, 2018
Persistent link: https://www.econbiz.de/10011941318
Saved in:
9
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
guarantees the positive-definiteness of the
dynamic
covariance
matrix. The contribution of the paper ties in with Robert Basmann …
Persistent link: https://www.econbiz.de/10011586691
Saved in:
10
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
guarantees the positivedefiniteness of the
dynamic
covariance
matrix. The contribution of the paper ties in with Robert Basmann …
Persistent link: https://www.econbiz.de/10011536626
Saved in:
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