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Search: subject:"shrinkage method"
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Shrinkage method
8
CAPM
3
Factor analysis
3
Forecasting model
3
Prognoseverfahren
3
Volatility
3
Volatilität
3
APT
2
ARCH model
2
ARCH-Modell
2
Covariance matrix estimation
2
Empirical Bayes
2
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2
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2
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2
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2
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2
Hansen-Jagannathan distance
2
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2
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2
Portfolio-Management
2
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2
Random matrix theory
2
Regressionsanalyse
2
Schätztheorie
2
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2
Singular value decomposition
2
shrinkage method
2
Aktienmarkt
1
Algorithm
1
Algorithmus
1
Artificial intelligence
1
Bayes-Statistik
1
Bayesian inference
1
Bayesian shrinkage method
1
Börsenkurs
1
Conditional hedge ratio
1
Covariance matrix
1
Dynamic policy effect
1
Dynamische Wirtschaftstheorie
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Ma, Feng
3
Ren, Yu
3
Wang, Jiqian
3
Bai, Jushan
2
Shi, Shuzhong
2
Shimotsu, Katsumi
2
Bouri, Elie
1
Chauhan, Rajneesh
1
Chen, Qihui
1
Dai, Zhifeng
1
Guo, Yangli
1
Joshi, Himanshu
1
Kang, Jie
1
Kim, Myeong Jun
1
Luo, Qin
1
Ma, Yuanhui
1
Mi, Yunlong
1
Park, Sung Y.
1
Shi, Yong
1
Wahab, M. I. M.
1
Wang, Zongrun
1
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1
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China Economics and Management Academy, Central University of Finance and Economics (CUFE)
1
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Annals of Economics and Finance
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CEMA Working Papers
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Computational Statistics
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Energy economics
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International journal of finance & economics : IJFE
1
International journal of forecasting
1
Journal of economic dynamics & control
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Journal of empirical finance
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Vision : the journal of business perspective
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ECONIS (ZBW)
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RePEc
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EconStor
1
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1
Changing determinant driver and oil volatility forecasting : a comprehensive analysis
Luo, Qin
;
Ma, Feng
;
Wang, Jiqian
;
Wu, You
- In:
Energy economics
129
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014558966
Saved in:
2
Determinants of price multiples for technology firms in developed and emerging markets : variable selection using shrinkage algorithm
Joshi, Himanshu
;
Chauhan, Rajneesh
- In:
Vision : the journal of business perspective
28
(
2024
)
1
,
pp. 55-66
Persistent link: https://www.econbiz.de/10014634376
Saved in:
3
Stock market volatility predictability in a data-rich world : a new insight
Ma, Feng
;
Wang, Jiqian
;
Wahab, M. I. M.
;
Ma, Yuanhui
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1804-1819
Persistent link: https://www.econbiz.de/10014465355
Saved in:
4
Which factors drive Bitcoin volatility : macroeconomic, technical, or both?
Wang, Jiqian
;
Ma, Feng
;
Bouri, Elie
;
Guo, Yangli
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 970-988
Persistent link: https://www.econbiz.de/10014292892
Saved in:
5
Some new efficient mean-variance portfolio selection models
Dai, Zhifeng
;
Kang, Jie
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 4784-4796
Persistent link: https://www.econbiz.de/10013461378
Saved in:
6
Measuring dynamic pandemic-related policy effects : a time-varying parameter multi-level dynamic factor model approach
Wang, Zongrun
;
Zhou, Ling
;
Mi, Yunlong
;
Shi, Yong
- In:
Journal of economic dynamics & control
139
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013464787
Saved in:
7
Optimal conditional hedge ratio : a simple shrinkage estimation approach
Kim, Myeong Jun
;
Park, Sung Y.
- In:
Journal of empirical finance
38
(
2016
),
pp. 139-156
Persistent link: https://www.econbiz.de/10011663233
Saved in:
8
Estimating High Dimensional Covariance Matrices and its Applications
Bai, Jushan
;
Shi, Shuzhong
-
China Economics and Management Academy, Central …
-
2011
approaches are presented, including the
shrinkage
method
, the observable and latent factor method, the Bayesian approach, and the …
Persistent link: https://www.econbiz.de/10009322490
Saved in:
9
Estimating High Dimensional Covariance Matrices and its Applications
Bai, Jushan
;
Shi, Shuzhong
- In:
Annals of Economics and Finance
12
(
2011
)
2
,
pp. 199-215
approaches are presented, including the
shrinkage
method
, the observable and latent factor method, the Bayesian approach, and the …
Persistent link: https://www.econbiz.de/10009278162
Saved in:
10
Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test
Ren, Yu
;
Shimotsu, Katsumi
-
Economics Department, Queen's University
-
2007
proposes to improve the finite sample properties of the HJ-distance test by applying the
shrinkage
method
(Ledoit and Wolf …
Persistent link: https://www.econbiz.de/10005688211
Saved in:
1
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