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Search: subject:"nonlinear shrinkage"
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nonlinear shrinkage
31
Estimation theory
26
Schätztheorie
26
Portfolio selection
25
Portfolio-Management
25
Markowitz portfolio selection
24
Correlation
22
Korrelation
22
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14
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multivariate GARCH
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Nonlinear shrinkage
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dynamic conditional correlations
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nonlinear shrinkage estimation
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random matrix theory
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Ledoit, Olivier
40
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35
De Nard, Gianluca
15
Engle, Robert F.
11
Zhao, Zhao
10
Jiang, Hui
5
Hediger, Simon
3
Imamura, Mitsuyoshi
2
Kostovic, Damjan
2
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2
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Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät
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IEW - Working Papers
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ECONIS (ZBW)
33
EconStor
18
RePEc
4
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1
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/10015433504
Saved in:
2
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
Saved in:
3
New methods for testing, prediction, and estimation with applications to finance
Hediger, Simon
-
2023
Persistent link: https://www.econbiz.de/10014282051
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Combining the MGHyp distribution with
nonlinear
shrinkage
in modeling financial asset returns
Hediger, Simon
;
Näf, Jeffrey
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014578530
Saved in:
8
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:
9
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
10
Risk reduction and efficiency increase in large portfolios : gross-exposure constraints and shrinkage of the covariance matrix
Zhao, Zhao
;
Ledoit, Olivier
;
Jiang, Hui
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 73-105
Persistent link: https://www.econbiz.de/10013542850
Saved in:
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