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Estimation and forecasting of large realized covariance matrices and portfolio choice
Callot, Laurent; Kock, Anders Bredahl; Medeiros, Marcelo C. - 2014
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...
Persistent link: https://www.econbiz.de/10010433899
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Korrelationen in Extremsituationen : eine empirische Analyse des Deutschen Finanzmarktes mit Fokus auf irrationales Marktverhalten
Reuse, Svend - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008824787
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Korrelationen in Extremsituationen : Eine empirische Analyse des deutschen Finanzmarktes mit Fokus auf irrationales Marktverhalten
Reuse, Svend - 2011
Gerade vor dem Hintergrund der Finanzmarktkrise in 2008 sind die klassische Portfoliotheorie und die Wirkungsweise von Korrelationen erneut in die Kritik geraten. Svend Reuse analysiert das Verhalten von Korrelationen in Extremsituationen unter Berücksichtigung des irrationalen Marktverhaltens....
Persistent link: https://www.econbiz.de/10014425258
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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2011
Persistent link: https://www.econbiz.de/10009693817
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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10003829113
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Efficient Probit Estimation with Partially Missing Covariates
Conniffe, Denis - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10012764225
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Efficient Probit Estimation with Partially Missing Covariates
Conniffe, Denis; O'Neill, Donal - In: Missing-data methods: cross-sectional methods and …, (pp. 209-245). 2011
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10015380009
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Investment profit correlation : a regression model of profits from common stock investments
Bauman, W. Scott - 1968
Persistent link: https://www.econbiz.de/10000633684
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Correlation Neglect in Portfolio Choice : Lab Evidence
Eyster, Erik - 2017
Optimal portfolio theory depends upon a sophisticated understanding of the correlation among financial assets. In this … paper, we examine people's understanding of correlation using portfolio-allocation problems and find it to be strongly … behave very differently within pairs. We find evidence for correlation neglect — treating correlated variables as …
Persistent link: https://www.econbiz.de/10012963333
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Optimal Trading in Correlated Anomalies
Sotes-Paladino, Juan M. - 2017
The empirical asset pricing literature documents a myriad of anomalies. Accounting for the correlated and mean-reverting nature of these anomalies, I provide an explicit solution to the optimal dynamic investment problem of a risk-averse investor who trades in an arbitrary number of potentially...
Persistent link: https://www.econbiz.de/10012948516