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  • Search: subject:"Nonlinear shrinkage"
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Year of publication
Subject
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nonlinear shrinkage 23 Markowitz portfolio selection 14 Portfolio selection 12 Portfolio-Management 12 Estimation theory 11 Schätztheorie 11 Large-dimensional asymptotics 10 Correlation 9 Korrelation 9 multivariate GARCH 8 rotation equivariance 8 Theorie 6 ARCH model 5 ARCH-Modell 5 Dynamic conditional correlations 5 dynamic conditional correlations 5 nonlinear shrinkage estimation 5 random matrix theory 5 DCC 4 GARCH 4 Markowitz mean-variance efficiency 4 Nonlinear shrinkage 4 Stein's loss 4 Theory 4 intraday data 4 large-dimensional asymptotics 4 Capital income 3 Kapitaleinkommen 3 Nichtlineare Regression 3 Nonlinear regression 3 Risiko 3 Risk 3 Varianzanalyse 3 (c)DCC-GARCH 2 Analysis of variance 2 Capital structure 2 Composite likelihood 2 Consistent loss function 2 Cross-section of returns 2 Elicitability 2
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Online availability
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Free 35
Type of publication
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Book / Working Paper 33 Article 2
Type of publication (narrower categories)
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Working Paper 27 Graue Literatur 12 Non-commercial literature 12 Arbeitspapier 11 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1 Aufsatzsammlung 1 Hochschulschrift 1
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Language
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English 31 Undetermined 4
Author
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Ledoit, Olivier 28 Wolf, Michael 24 De Nard, Gianluca 7 Engle, Robert F. 6 Zhao, Zhao 6 Jiang, Hui 4 Hediger, Simon 2 Imamura, Mitsuyoshi 2 Krüger, Fabian 2 Liesenfeld, Roman 2 Nakagawa, Kei 2 Reh, Laura 2 Yoshida, Kenichi 2 Kostovic, Damjan 1 Näf, Jeffrey 1
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Institution
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Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 4
Published in...
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Working Paper 15 Working paper series / University of Zurich, Department of Economics 10 ECON - Working Papers 3 IEW - Working Papers 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 KIT Working Paper Series in Economics 1 Working paper series in economics 1
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Source
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EconStor 17 ECONIS (ZBW) 14 RePEc 4
Showing 1 - 10 of 35
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AI shrinkage : a data-driven approach for risk-optimized portfolios
De Nard, Gianluca; Kostovic, Damjan - 2025
nonlinear shrinkage, demonstrating improved performance compared to the classic shrinkage estimators. Our results demonstrate …
Persistent link: https://www.econbiz.de/10015407991
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New methods for testing, prediction, and estimation with applications to finance
Hediger, Simon - 2023
Persistent link: https://www.econbiz.de/10014282051
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Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022
recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the …
Persistent link: https://www.econbiz.de/10013164130
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the …
Persistent link: https://www.econbiz.de/10013040932
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Cover Image
Combining the MGHyp Distribution with Nonlinear Shrinkage in Modeling Financial Asset Returns
Hediger, Simon; Näf, Jeffrey - 2022
The present paper combines nonlinear shrinkage with the Multivariate Generalized Hyperbolic (MGHyp) distribution to …
Persistent link: https://www.econbiz.de/10013293614
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Cover Image
Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021
recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the …
Persistent link: https://www.econbiz.de/10012588495
Saved in:
Cover Image
Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage
Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2020
We investigate the effects of constraining leverage and shrinking covariance matrix in constructing large portfolios, both theoretically and empirically. Considering a wide variety of setups that involve conditioning or not conditioning the covariance matrix estimator on the recent past...
Persistent link: https://www.econbiz.de/10012155364
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Predicting the global minimum variance portfolio
Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 2020
(GAS) type dynamics. Sparse parameterizations combined with targeting towards nonlinear shrinkage estimates of the long …
Persistent link: https://www.econbiz.de/10012250683
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Cover Image
Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020
. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this …
Persistent link: https://www.econbiz.de/10012253774
Saved in:
Cover Image
Predicting the global minimum variance portfolio
Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 2020
(GAS) type dynamics. Sparse parameterizations combined with targeting towards nonlinear shrinkage estimates of the long …
Persistent link: https://www.econbiz.de/10012243462
Saved in:
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