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ECONIS (ZBW)
243
RePEc
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1
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
2
COVID-19 and risk spillovers of China's major financial markets : evidence from time-varying variance decomposition and wavelet coherence analysis
Xie, Qiwei
;
Cheng, Lu
;
Liu, Ranran
;
Zheng, Xiaolong
; …
- In:
Finance research letters
52
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014472112
Saved in:
3
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
4
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
5
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:
6
Which (co-)ownership types in renewables are associated with the willingness to adopt energy-efficient technologies and energy-conscious behaviour? : data from German households
Roth, Lucas
;
Lowitzsch, Jens
;
Yildiz, Özgür
- In:
Energy policy
180
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014479085
Saved in:
7
The pricing of variance risks in agricultural futures markets : do jumps matter?
He, Xinyue
;
Bian, Siyu
;
Serra, Teresa
- In:
European review of agricultural economics
50
(
2023
)
4
,
pp. 1428-1452
Persistent link: https://www.econbiz.de/10014331348
Saved in:
8
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
9
Variance reduced Shapley value estimation for trustworthy data valuation
Wu, Mengmeng
;
Jia, Ruoxi
;
Lin, Changle
;
Huang, Wei
; …
- In:
Computers & operations research : and their …
159
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014455582
Saved in:
10
On the predictive ability of conditional market skewness
Serna, Gregorio
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 186-191
Persistent link: https://www.econbiz.de/10014461560
Saved in:
11
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
12
Integrated variance of irregularly spaced high-frequency data : a state space approach based on pre-averaging
Alexeev, Vitali
;
Chen, Jun
;
Ignatieva, Ekaterina
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 733-763
Persistent link: https://www.econbiz.de/10014506869
Saved in:
13
Industry variance risk premium, cross-industry correlation, and expected returns
Zhu, Yabei
;
Luo, Xingguo
;
Xu, Qi
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 3-32
Persistent link: https://www.econbiz.de/10013465888
Saved in:
14
The motifs of risk transmission in multivariate time series: Application to commodity prices
Pagnottoni, Paolo
;
Spelta, Alessandro
- In:
Socio-economic planning sciences : the international …
87
(
2023
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014317442
Saved in:
15
Improving the performance of the unmeasured latent method construct technique in common method variance detection and correction
Ding, Cherng G.
;
Chen, Chien-Fan
;
Jane, Ten-Der
- In:
Journal of organizational behavior : OB ; the …
44
(
2023
)
3
,
pp. 519-542
Persistent link: https://www.econbiz.de/10014280160
Saved in:
16
The variance premiums' responses to the ECB monetary announcements
Chebbi, Tarek
;
Hmedat, Waleed
- In:
International journal of trade and global markets
17
(
2023
)
1
,
pp. 51-63
Persistent link: https://www.econbiz.de/10014287205
Saved in:
17
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
18
Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas
;
Paparoditis, Efstathios
;
Trenkler, Carsten
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 276-300
Persistent link: https://www.econbiz.de/10014364826
Saved in:
19
Realized quantity extended conditional autoregressive value-at-risk models
Götz, Pit
- In:
Journal of risk : JOR
26
(
2023
)
2
,
pp. 33-63
Persistent link: https://www.econbiz.de/10014487299
Saved in:
20
Correlation versus co-fractality : evidence from foreign-exchange-rate variances
Grobys, Klaus
- In:
International review of financial analysis
86
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248594
Saved in:
21
Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model
Gribisch, Bastian
;
Hartkopf, Jan Patrick
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014434377
Saved in:
22
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
23
Improving variance forecasts : the role of Realized Variance features
Papantonis, Ioannis
;
Rompolis, Leonidas
;
Tzavalis, Elias
- In:
International journal of forecasting
39
(
2023
)
3
,
pp. 1221-1237
Persistent link: https://www.econbiz.de/10014465267
Saved in:
24
Factor-based imputation of missing values and covariances in panel data of large dimensions
Cahan, Ercument
;
Bai, Jushan
;
Ng, Serena
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 113-131
Persistent link: https://www.econbiz.de/10014340963
Saved in:
25
The international commonality of idiosyncratic variances
Bekaert, Geert
;
Wang, Xue Phyllis
;
Zhang, Xiaoyan
-
2023
Persistent link: https://www.econbiz.de/10014325906
Saved in:
26
A comparison of minimum variance and maximum Sharpe ratio portfolios for mainstream investors
Vinzelberg, Anja
;
Auer, Benjamin R.
- In:
The journal of risk finance : JRF
23
(
2022
)
1
,
pp. 55-84
Persistent link: https://www.econbiz.de/10012797861
Saved in:
27
Local projection variance impulse response
Kawakatsu, Hiroyuki
- In:
Empirical economics : a quarterly journal of the …
62
(
2022
)
3
,
pp. 1219-1244
Persistent link: https://www.econbiz.de/10012819528
Saved in:
28
Signing out confounding shocks in variance-maximizing identification methods
Francis, Neville
;
Kindberg-Hanlon, Gene
- In:
AEA papers and proceedings
112
(
2022
),
pp. 476-480
Persistent link: https://www.econbiz.de/10013254280
Saved in:
29
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
30
Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
Saved in:
31
Modeling and forecasting realized portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013461907
Saved in:
32
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
33
Estimation of a heterogeneous demand function with Berkson errors
Blundell, Richard W.
;
Horowitz, Joel
;
Parey, Matthias
- In:
The review of economics and statistics
104
(
2022
)
5
,
pp. 877-889
Persistent link: https://www.econbiz.de/10013407545
Saved in:
34
Should (co)jump variation be included in asset allocation?
Chen, Zirong
;
Lin, Haonan
;
Zheng, Xu
- In:
Applied economics letters
29
(
2022
)
20
,
pp. 1868-1875
Persistent link: https://www.econbiz.de/10013412321
Saved in:
35
A new measure of realized volatility : inertial and reverse realized semivariance
Luo, Xin
;
Tao, Yunqing
;
Zou, Kai
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10013459886
Saved in:
36
Reduction of variation and control parameters optimising in a cement-bags company
Shehata, Abdelrahman S.
;
Heshmat, Mahmoud
;
El-Sharief, …
- In:
International journal of process management and …
12
(
2022
)
3
,
pp. 321-347
Persistent link: https://www.econbiz.de/10013256987
Saved in:
37
Reconciling mean-variance portfolio theory with non-Gaussian returns
Lassance, Nathan
- In:
European journal of operational research : EJOR
297
(
2022
)
2
,
pp. 729-740
Persistent link: https://www.econbiz.de/10013259928
Saved in:
38
Covariance matrix estimation under total positivity for portfolio selection
Agrawal, Raj
;
Roy, Uma
;
Uhler, Caroline
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 367-389
Persistent link: https://www.econbiz.de/10013187988
Saved in:
39
Characteristic-sorted portfolios and macroeconomic risks : an orthogonal decomposition
Adcock, Christopher
;
Bessler, Wolfgang
;
Conlon, Thomas
- In:
Journal of empirical finance
65
(
2022
),
pp. 24-50
Persistent link: https://www.econbiz.de/10013286399
Saved in:
40
Robust inference in models identified via heteroskedasticity
Lewis, Daniel J.
- In:
The review of economics and statistics
104
(
2022
)
3
,
pp. 510-524
Persistent link: https://www.econbiz.de/10013281462
Saved in:
41
A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng
;
Xu, Wen
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
Saved in:
42
Pricing the correlation skew with normal mean-variance mixture copulas
Luján Fernández, Ignacio
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
Saved in:
43
Reactive global minimum variance portfolios with k-BAHC covariance cleaning
Bongiorno, Christian
;
Challet, Damien
- In:
The European journal of finance
28
(
2022
)
13/15
,
pp. 1344-1360
Persistent link: https://www.econbiz.de/10013532213
Saved in:
44
Portfolio optimization with sparse multivariate modeling
Procacci, Pier Francesco
;
Aste, Tomaso
- In:
The journal of asset management : a major new, …
23
(
2022
)
6
,
pp. 445-465
Persistent link: https://www.econbiz.de/10013392110
Saved in:
45
Instrumental variable identification of dynamic variance decompositions
Plagborg-Møller, Mikkel
;
Wolf, Christian
- In:
Journal of political economy
130
(
2022
)
8
,
pp. 2164-2202
Persistent link: https://www.econbiz.de/10013367447
Saved in:
46
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
47
Distributionally robust mean-variance portfolio selection with Wasserstein distances
Blanchet, Jose
;
Chen, Lin
;
Zhou, Xun Yu
- In:
Management science : journal of the Institute for …
68
(
2022
)
9
,
pp. 6382-6410
Persistent link: https://www.econbiz.de/10013373005
Saved in:
48
Stepwise expanding the frontier one asset at a time
Chiu, Wan-Yi
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013341338
Saved in:
49
Oil tail risks and the forecastability of the realized variance of oil-price : evidence from over 150 years of data
Salisu, Afees A.
;
Pierdzioch, Christian
;
Gupta, Rangan
- In:
Finance research letters
46
(
2022
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10013341577
Saved in:
50
Pricing of variance swap rates and investment decisions of variance swaps : evidence from a three-factor model
Hong, Yi
;
Jin, Xing
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 975-985
Persistent link: https://www.econbiz.de/10013364052
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