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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

Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data

Chen, Xin; Yang, Dan; Yan, Xu; Xia, Yin; Wang, Dong; … - In: Journal of econometrics 232 (2023) 2, pp. 544-564

Persistent link: https://www.econbiz.de/10014340639

A test for Kronecker Product Structure covariance matrix

Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - In: Journal of econometrics 233 (2023) 1, pp. 88-112

Persistent link: https://www.econbiz.de/10014340952

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

A test for the equality of multiple Sharpe ratios

Wright, John; Yam, Sheung Chi Phillip; Yung, Siu Pang - In: Journal of risk 16 (2013/2014) 4, pp. 3-21

Persistent link: https://www.econbiz.de/10013262931

Monitoring multivariate process variability with individual observations via penalised likelihood estimation

Yeh, Arthur B.; Li, Bo; Wang, Kaibo - In: International journal of production research 50 (2012) 22, pp. 6624-6638

Persistent link: https://www.econbiz.de/10009673531

Nonparametric regression estimation with general parametric error covariance : a more efficient two-step estimator

Su, Liangjun; Ullah, Aman; Wang, Yun - In: Empirical economics : a journal of the Institute for … 45 (2013) 2, pp. 1009-1024

Persistent link: https://www.econbiz.de/10010188619

Selecting volatility forecasting models for portfolio allocation purposes

Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861

Persistent link: https://www.econbiz.de/10011474597

Autoregressive spatial spectral estimates

Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 80-95

Persistent link: https://www.econbiz.de/10011974618

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