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  • Search: subject:"Time-varying covariance matrix"
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Subject
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Correlation 1 Factor analysis 1 Factor model 1 Faktorenanalyse 1 Korrelation 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Particle Gibbs 1 Particle filter 1 Stochastic process 1 Stochastic volatility 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Time series analysis 1 Time-varying covariance matrix 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 multivariate GARCH models 1 portfolio selection 1 time-varying covariance matrix 1
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Free 1 Undetermined 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Fiszeder, Piotr 1 Li, Mengheng 1 Scharth, Marcel 1
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Dynamic Econometric Models 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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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
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Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices
Fiszeder, Piotr - In: Dynamic Econometric Models 11 (2011), pp. 87-98
An evaluation of the efficiency of different methods of the minimum variance portfolio selection was performed for seventy stocks from the Warsaw Stock Exchange. Eight specifications of multivariate GARCH models and six other methods were used. The application of all considered GARCH-class...
Persistent link: https://www.econbiz.de/10010754075
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