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Search: subject:"covariance matrix"
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Subject
All
Korrelation
141
Correlation
140
Schätztheorie
128
Estimation theory
124
Covariance matrix
81
Portfolio selection
73
Portfolio-Management
73
covariance matrix
51
Time series analysis
40
Varianzanalyse
40
Zeitreihenanalyse
40
Covariance matrix estimation
37
Theorie
36
Analysis of variance
35
Volatilität
35
Volatility
33
Theory
30
ARCH-Modell
25
Faktorenanalyse
25
ARCH model
24
Factor analysis
24
Capital income
22
Kapitaleinkommen
22
Schätzung
20
Linear algebra
19
Lineare Algebra
19
Forecasting model
18
Prognoseverfahren
18
Estimation
17
Multivariate Analyse
17
Multivariate analysis
16
Realized covariance matrix
16
Mathematical programming
15
Mathematische Optimierung
15
CAPM
13
Monte Carlo simulation
13
Monte-Carlo-Simulation
13
Stochastic process
12
Stochastischer Prozess
12
Singular covariance matrix
11
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Free
207
Undetermined
195
CC license
9
Type of publication
All
Article
255
Book / Working Paper
187
Other
1
Type of publication (narrower categories)
All
Article in journal
118
Aufsatz in Zeitschrift
118
Working Paper
75
Graue Literatur
41
Non-commercial literature
41
Arbeitspapier
36
Article
10
Thesis
4
Hochschulschrift
3
research-article
2
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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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English
257
Undetermined
183
Spanish
2
Russian
1
Author
All
Ledoit, Olivier
14
Wolf, Michael
14
Gribisch, Bastian
11
Bodnar, Taras
10
Frahm, Gabriel
10
Mazur, Stepan
10
Golosnoy, Vasyl
9
Kapetanios, George
8
Gulliksson, Mårten
7
Liesenfeld, Roman
7
McAleer, Michael
7
Calzolari, Giorgio
6
Memmel, Christoph
6
Weigand, Roland
6
Ferroni, Filippo
5
Grassi, Stefano
5
Kleibergen, Frank
5
Li, Degui
5
Monticini, Andrea
5
Oleynik, Anna
5
Candila, Vincenzo
4
Davidson, Russel
4
Davidson, Russell
4
Fan, Jianqing
4
Flachaire, Emmanuel
4
Gao, Jiti
4
León-Ledesma, Miguel A.
4
Linton, Oliver
4
Pan, Guangming
4
Panattoni, Lorenzo
4
Parolya, Nestor
4
Su, Liangjun
4
Tyrcha, Joanna
4
Alfelt, Gustav
3
Asai, Manabu
3
Bouev, Maxim
3
Chang, Chia-Lin
3
Chen, Jia
3
Cribari-Neto, Francisco
3
Dai, Deliang
3
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
11
International Monetary Fund (IMF)
5
Cowles Foundation for Research in Economics, Yale University
4
Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät
4
London School of Economics (LSE)
4
Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät
4
Department of Economics and Business, Universitat Pompeu Fabra
3
Dipartimenti e Istituti di Scienze Economiche, Università Cattolica del Sacro Cuore
3
HAL
3
School of Economics and Finance, Queen Mary
3
Department of Economics, University of California-San Diego (UCSD)
2
EconWPA
2
Economics Department, Queen's University
2
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
2
Nationalekonomiska Institutionen, Ekonomihögskolan
2
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
2
University <Nottingham> / Department of Economics
2
Barcelona Graduate School of Economics (Barcelona GSE)
1
Bureau d'Économie Théorique et Appliquée (BETA), Université de Strasbourg
1
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
1
Centre for Economic Research, School of Economics and Management Studies
1
Centre for Financial Research <Köln>
1
Centre for Microdata Methods and Practice (CEMMAP)
1
Centre of Excellence for Science and Innovation Studies, Kungliga Tekniska Högskolan (KTH)
1
Centro de Estudios Monetarios y Financieros (CEMFI)
1
Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia
1
Departamento de Estadistica, Universidad Carlos III de Madrid
1
Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
1
Department of Econometrics and Business Statistics, Monash Business School
1
Department of Economics, Concordia University
1
Department of Economics, European University at St. Petersburg
1
Department of Economics, Management School
1
Department of Economics, National University of Ireland
1
Department of Economics, University of California-Riverside
1
Deutsche Bundesbank
1
East Asian Bureau of Economic Research (EABER)
1
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
1
Faculty of Economics, University of Cambridge
1
Graduate School of Economics, Osaka University
1
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
1
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Published in...
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Journal of econometrics
21
Journal of Multivariate Analysis
20
Annals of the Institute of Statistical Mathematics
19
Working Paper
17
MPRA Paper
11
Statistics & Probability Letters
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
Psychometrika
8
Computational Statistics & Data Analysis
7
Finance research letters
7
Econometrics
6
IMF Working Papers
5
Metrika
5
Quantitative finance
5
Working paper
5
Cowles Foundation Discussion Papers
4
Discussion Papers in Econometrics and Statistics
4
Discussion Papers in Statistics and Econometrics
4
International journal of production research
4
Journal of empirical finance
4
LSE Research Online Documents on Economics
4
Statistical Papers / Springer
4
Working paper series / University of Zurich, Department of Economics
4
DISCE - Working Papers del Dipartimento di Economia e Finanza
3
Discussion paper / Tinbergen Institute
3
Econometrics : open access journal
3
Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
3
Economics letters
3
IEW - Working Papers
3
IRTG 1792 Discussion Paper
3
Journal of Applied Statistics
3
Journal of Econometrics
3
Physica A: Statistical Mechanics and its Applications
3
Post-Print / HAL
3
The journal of asset management
3
Tinbergen Institute Discussion Paper
3
Working Papers / School of Economics and Finance, Queen Mary
3
AStA Advances in Statistical Analysis
2
Applied Econometrics
2
CIRJE discussion papers / F series
2
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Source
All
RePEc
215
ECONIS (ZBW)
161
EconStor
49
BASE
8
USB Cologne (business full texts)
5
Other ZBW resources
5
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111
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120
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443
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111
Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Yilmaz, Hilal
;
Pearson, Neil D.
- In:
International journal of computational economics and …
6
(
2016
)
1
,
pp. 71-92
Persistent link: https://www.econbiz.de/10011588856
Saved in:
112
Portfolio optimization with VaR approach : a comparative analysis for Japan, London, New York and India
Bhatia, Parul
;
Gupta, Priya
- In:
Theoretical and applied economics : GAER review
27
(
2020
)
4/625
,
pp. 245-262
Persistent link: https://www.econbiz.de/10012692462
Saved in:
113
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin
;
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 699-724
Persistent link: https://www.econbiz.de/10012321867
Saved in:
114
Adjusting
covariance
matrix
for risk management
Yu, Philip L. H.
;
Ng, F. C.
;
Ting, Jessica K. W.
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1681-1699
Persistent link: https://www.econbiz.de/10012295631
Saved in:
115
An iterative approach to ill-conditioned optimal portfolio selection
Gulliksson, Mårten
;
Mazur, Stepan
- In:
Computational economics
56
(
2020
)
4
,
pp. 773-794
Persistent link: https://www.econbiz.de/10012390467
Saved in:
116
Portfolio turnover when IC is time-varying
Ding, Zhuanxin
;
Martin, R. Douglas
;
Yang, Chaojun
- In:
The journal of asset management
21
(
2020
)
7
,
pp. 609-622
Persistent link: https://www.econbiz.de/10012421074
Saved in:
117
Ultrahigh dimensional precision matrix estimation via refitted cross validation
Wang, Luheng
;
Chen, Zhao
;
Wang, Christina Dan
;
Li, Runze
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 118-130
Persistent link: https://www.econbiz.de/10012439399
Saved in:
118
On the consistency of the logistic quasi-MLE under conditional symmetry
Wooldridge, Jeffrey M.
- In:
Economics letters
194
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012509308
Saved in:
119
Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data
Hüttner, Amelie
;
Scherer, Matthias
;
Gräler, Benedikt
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521061
Saved in:
120
Finding the nearest
covariance
matrix
: the foreign exchange market case
Minabutdinov, Aleksey
;
Manaev, Ilya
;
Bouev, Maxim
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 103-127
Persistent link: https://www.econbiz.de/10012543624
Saved in:
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