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Estimation theory
shrinkage
166
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104
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102
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Medeiros, Marcelo C.
7
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4
Jochmans, Koen
4
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4
Pesaran, M. Hashem
4
Smith, L. Vanessa
4
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4
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3
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3
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3
Koop, Gary
3
Lamarche, Carlos
3
Miebs, Felix
3
Onorante, Luca
3
Pick, Andreas
3
Timmermann, Allan
3
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2
Athanasopoulos, George
2
Caner, Mehmet
2
Carriero, Andrea
2
Clark, Todd E.
2
Füss, Roland
2
Hyndman, Rob J.
2
Jiang, Bin
2
Koeppel, Christian
2
Li, Peng
2
Marcellino, Massimiliano
2
Menchero, Jose
2
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2
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2
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2
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2
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2
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1
Al-Momani, Marwan
1
Al-Zeaud, Hussein Ali
1
Alves, Isabel Fraga
1
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1
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1
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Journal of econometrics
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5
CEMMAP working papers / Centre for Microdata Methods and Practice
3
Cambridge working papers in economics
3
Discussion paper / Tinbergen Institute
3
Econometrics : open access journal
3
Economics letters
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
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3
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2
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2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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Financial econometrics and empirical market microstructure
1
Global business & economics review
1
Handbook of labor economics : volume 5
1
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1
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
1
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Shrinkage
=factor model
Kakushadze, Zura
- In:
The journal of asset management
17
(
2016
)
2
,
pp. 69-72
Persistent link: https://www.econbiz.de/10011442954
Saved in:
2
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
Saved in:
3
Random matrix models for datasets with fixed time horizons
Zitelli, G. L.
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 769-781
Persistent link: https://www.econbiz.de/10012262618
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4
Eigen-analysis for high-dimensional time series clustering
Zhang, Bo
;
Gao, Jiti
;
Pan, Guangming
;
Yang, Yanrong
-
2023
Persistent link: https://www.econbiz.de/10014452611
Saved in:
5
Nonparametric correlation models for portfolio allocation
Aslanidis, Nektarios
;
Casas, Isabel
- In:
Journal of banking & finance
37
(
2013
)
7
,
pp. 2268-2283
Persistent link: https://www.econbiz.de/10009760686
Saved in:
6
Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali
- In:
American journal of finance and accounting
3
(
2013/14
)
2/4
,
pp. 172-184
Persistent link: https://www.econbiz.de/10010403630
Saved in:
7
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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8
Risk reduction and efficiency increase in large portfolios : gross-exposure constraints and
shrinkage
of the covariance matrix
Zhao, Zhao
;
Ledoit, Olivier
;
Jiang, Hui
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 73-105
Persistent link: https://www.econbiz.de/10013542850
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9
Application of Bayesian methods in the analysis of dynamic conditional correlation multivariate GARCH models
Gudeta, Dechassa Obsi
- In:
International journal of computational economics and …
15
(
2025
)
1/2
,
pp. 116-146
Persistent link: https://www.econbiz.de/10015399421
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10
Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland
;
MacDonald, Iain L.
;
Zucchini, Walter
- In:
Journal of empirical finance
19
(
2012
)
1
,
pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
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