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Portfolio optimization in the presence of tail correlation
Ben Abdelaziz, Fouad; Chibane, Messaoud - In: Economic modelling 122 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014388707
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Improving minimum-variance portfolio through shrinkage of large covariance matrices
Shi, Fangquan; Shu, Lianjie; He, Fangyi; Huang, Wenpo - In: Economic modelling 144 (2025), pp. 1-16
Persistent link: https://www.econbiz.de/10015193796
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Covariance estimation using high-frequency data: Sensitivities of estimation methods
Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic modelling 43 (2014), pp. 416-425
Persistent link: https://www.econbiz.de/10010503037
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Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui; Zhang, Yi - In: Economic modelling 106 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
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Penalized quadratic inference functions estimation of fixed effects partially linear varying coefficient spatial error model
Chen, Jianbao; Li, Fen - In: Economic modelling 146 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015432001
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Co-movements of GCC emerging stock markets : new evidence from wavelet coherence analysis
Aloui, Chaker; Hkiri, Besma - In: Economic modelling 36 (2014), pp. 421-431
Persistent link: https://www.econbiz.de/10010415824
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Modeling conditional covariance for mixed-asset portfolios
Zhou, Jian - In: Economic modelling 40 (2014), pp. 242-249
Persistent link: https://www.econbiz.de/10010425651
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Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
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Modelling VaR for foreign-asset portfolios in continuous time
Chen, Fen-ying; Liao, Szu-Lang - In: Economic modelling 26 (2009) 1, pp. 234-240
Persistent link: https://www.econbiz.de/10003817081