Similar Search Results

A proposal for multi-asset generalized variance swaps

Biswas, Subhojit; Mukherjee, Diganta - In: Annals of financial economics 14 (2019) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10012226643

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

The generalized conditional autoregressive wishart model for multivariate realized volatility

Yu, Philip L. H.; Li, Wai Keung; Ng, F. C. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 513-527

Persistent link: https://www.econbiz.de/10011893712

Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier

Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92

Persistent link: https://www.econbiz.de/10011588856

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

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

On shrinkage covariance estimators : how inefficient is 1/N strategy of covariance estimation for portfolio selection in foreign exchange market?

Husnain, Muhammad; Ali, Shamrez; Munir, Qaiser; … - In: Cogent economics & finance 12 (2024) 1, pp. 1-21

We investigate portfolio selection performance as in Markowitz by evaluating variance matrix estimation criteria in the currency market. This study challenges theoretically rigorous shrinkage covariance estimators using multiple evaluation metrics: systematic loss function, risk profile of...

Persistent link: https://www.econbiz.de/10015192454

Asset allocation with factor-based covariance matrices

Conlon, Thomas; Cotter, John; Kynigakis, Iason - In: European journal of operational research : EJOR 325 (2025) 1, pp. 189-203

Persistent link: https://www.econbiz.de/10015433232

Asymptotic Expansion for the Null Distribution of the F-statistic in One-way ANOVA under Non-normality

Harrar, Solomon; Gupta, Arjun - In: Annals of the Institute of Statistical Mathematics 59 (2007) 3, pp. 531-556

Persistent link: https://www.econbiz.de/10005395703