multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte …This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our …

multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte …This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

parameter without compromising the estimation of the remaining parameters of the model. An empirical illustration of our maximum …

searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and … have maximum correlation with the target variables and the problem of weak instrument is thus avoided. The proposed … approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …