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Quantitative finance
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An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William
;
Broby, Daniel
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 521-537
Persistent link: https://www.econbiz.de/10014232686
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2
Adjusting covariance matrix for risk management
Yu, Philip L. H.
;
Ng, F. C.
;
Ting, Jessica K. W.
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1681-1699
Persistent link: https://www.econbiz.de/10012295631
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3
Dynamic principal component CAW models for high-dimensional realized covariance matrices
Gribisch, Bastian
;
Stollenwerk, Michael
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 799-821
Persistent link: https://www.econbiz.de/10012262622
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4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
Huang, Yinzhong
;
Xiao, Weilin
;
Yu, Xiaojian
- In:
Quantitative finance
24
(
2024
)
10
,
pp. 1509-1527
Persistent link: https://www.econbiz.de/10015196938
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5
Heterogeneity and clustering of defaults
Karlis, A. K.
;
Galanis, G.
;
Terovitis, S.
;
Turner, M. S.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1533-1549
Persistent link: https://www.econbiz.de/10012624153
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6
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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7
Capturing volatility persistence : a dynamically complete realized EGARCH-MIDAS model
Borup, Daniel
;
Jakobsen, Johan S.
- In:
Quantitative finance
19
(
2019
)
11
,
pp. 1839-1855
Persistent link: https://www.econbiz.de/10015123057
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8
High-dimensional realized covariance estimation : a parametric approach
Buccheri, G.
;
Mboussa Anga, G.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
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9
Covariance matrix filtering and portfolio optimisation : the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
Bongiorno, Christian
;
Challet, Damien
- In:
Quantitative finance
24
(
2024
)
9
,
pp. 1227-1234
Persistent link: https://www.econbiz.de/10015196881
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10
Correlation
as probability : applications of Sheppard's formula to financial assets
Giner, Javier
;
Mendoza Aguilar, Judit
;
Morini-Marrero, …
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 777-787
Persistent link: https://www.econbiz.de/10011907938
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