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Risk reduction and efficiency increase in large portfolios : gross-exposure constraints and shrinkage of the covariance matrix
Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - In: Journal of financial econometrics 21 (2023) 1, pp. 73-105
Persistent link: https://www.econbiz.de/10013542850
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Bayesian nonparametric estimation of ex post variance
Griffin, Jim; Liu, Jia; Maheu, John M. - In: Journal of financial econometrics 19 (2021) 5, pp. 823-859
Persistent link: https://www.econbiz.de/10012799051
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A coskewness shrinkage approach for estimating the skewness of linear combinations of random variables
Boudt, Kris; Cornilly, Dries; Verdonck, Tim - In: Journal of financial econometrics 18 (2020) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10012180319
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Dynamic nonparametric clustering of multivariate panel data
João, Igor Custodio; Schaumburg, Julia; Lucas, André; … - In: Journal of financial econometrics 22 (2024) 2, pp. 335-374
Persistent link: https://www.econbiz.de/10014526325
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Forecasting large realized covariance matrices : the benefits of factor models and shrinkage
Alves, Rafael P.; Brito, Diego S. de; Medeiros, Marcelo C. - In: Journal of financial econometrics 22 (2024) 3, pp. 696-742
Persistent link: https://www.econbiz.de/10015045177