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A regime-switching factor model for mean-variance optimization

Costa, Giorgio; Kwon, Roy H. - In: Journal of risk 22 (2019/2020) 4, pp. 31-59

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Robuste Frontierfunktionen, methodologische Anmerkungen und Ausbildungsadäquanzmessung

Jensen, Uwe - 2001

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Robust volatility estimation

Jochum, Christian - In: Finanzmarkt und Portfolio-Management 12 (1998) 1, pp. 46-58

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Geldpolitik und Inflationsrate: Informationsprobleme

Issing, Otmar - In: Ökonomie und Ökologie : Festschrift für Joachim …, (pp. 139-159). 1999

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Robustness tests of the augmented Solow model

Temple, Jonathan - In: Journal of applied econometrics 13 (1998) 4, pp. 361-375

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On the determinants of national saving : an extreme-bounds analysis

Hussain, Mumtaz; Brookins, Oscar T. - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 137 (2001) 1, pp. 150-174

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Outlier robust GMM estimation of leverage determinants

Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994

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Robust tests of predictive accuracy

Dell'Aquila, Rosario; Ronchetti, Elvezio - 2002

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Robust estimation of models of Engel curves

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Robust and Sparse Factor Modelling

Croux, Christophe; Exterkate, Peter - 2011

Factor construction methods are widely used to summarize a large panel of variables by means of a relatively small number of representative factors. We propose a novel factor construction procedure that enjoys the properties of robustness to outliers and of sparsity; that is, having relatively...

Persistent link: https://www.econbiz.de/10014175201