Similar Search Results

Shrinkage=factor model

Kakushadze, Zura - In: The journal of asset management 17 (2016) 2, pp. 69-72

Persistent link: https://www.econbiz.de/10011442954

Approximating by the Wishart distribution

Kollo, Tönu; Rosen, Dietrich - In: Annals of the Institute of Statistical Mathematics 47 (1995) 4, pp. 767-783

Persistent link: https://www.econbiz.de/10005395685

A Krylov subspace approach to large portfolio optimization

Bajeux-Besnainou, Isabelle; Bandara, Wachindra; Bura, … - In: Journal of Economic Dynamics and Control 36 (2012) 11, pp. 1688-1699

stock data are used to demonstrate the relative robustness of BFGMRES to illiquidity when compared to the “shrinkage to … ratios and standard deviations for filtered data. In a simulation study, we show that BFGMRES is more robust than shrinkage … to market in the presence of data irregularities. Indeed, when there is an illiquid stock shrinkage to market allocates …

Persistent link: https://www.econbiz.de/10011051937

Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails

Davis, Richard A.; Pfaffel, Oliver; Stelzer, Robert - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 18-50

We study the joint limit distribution of the k largest eigenvalues of a p×p sample covariance matrix XXT based on a large p×n matrix X. The rows of X are given by independent copies of a linear process, Xit=∑jcjZi,t−j, with regularly varying noise (Zit) with tail index α∈(0,4). It is...

Persistent link: https://www.econbiz.de/10011065005

Strong convergence of ESD for the generalized sample covariance matrices when p/n→0

Bao, Zhigang - In: Statistics & Probability Letters 82 (2012) 5, pp. 894-901

Let X=[Xij]p×n be a p×n random matrix whose entries are i.i.d real random variables satisfying the moment condition EX114∞. Let T be a p×p deterministic nonnegative definite matrix. It is assumed that the empirical distribution of the eigenvalues of T converges weakly to a probability...

Persistent link: https://www.econbiz.de/10011039768

Random matrix models for datasets with fixed time horizons

Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781

Persistent link: https://www.econbiz.de/10012262618

Global and regional volatility spillovers to GCC stock markets

Alotaibi, Abdullah R.; Mishra, Anil V. - In: Economic Modelling 45 (2015) C, pp. 38-49

This paper examines the effects of return spillovers from regional (Saudi Arabia) and global (US) markets to GCC stock markets (Bahrain, Oman, Kuwait, Qatar, United Arab Emirates). The paper develops various bivariate GARCH models for regional and global returns: BEKK, constant correlation and...

Persistent link: https://www.econbiz.de/10011190234

Spillover effects between US and major European stock markets

Al-Zeaud, Hussein Ali - In: American Journal of Finance and Accounting 3 (2014) 2/3/4, pp. 172-184

through DCC form of EGARCH model by Nelson (1991). Empirical evidence suggests that there is spillover effect from London …

Persistent link: https://www.econbiz.de/10010816696

A time-varying perspective on the CAPM and downside betas

Tsai, Hsiu-Jung; Chen, Ming-Chi; Yang, Chih-Yuan - In: International Review of Economics & Finance 29 (2014) C, pp. 440-454

, the DCC downside betas (HW-beta and HR-beta) more effectively explain the expected stock market returns than does the CAPM …

Persistent link: https://www.econbiz.de/10010729744

Time Variation in Diversification Benefits of Commodity, REITs, and TIPS

Huang, Jing-zhi; Zhong, Zhaodong - In: The Journal of Real Estate Finance and Economics 46 (2013) 1, pp. 152-192

Dynamic Conditional Correlation (DCC) model (Engle, J Bus Econ Stat 20(3):339–350, <CitationRef CitationID="CR16 …

Persistent link: https://www.econbiz.de/10010989328