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Testing equality of covariance matrices via pythagorean means

Cho, Jin Seo; Phillips, Peter C. B. - 2014

Persistent link: https://www.econbiz.de/10010470643

Pythagorean generalization of testing the equality of two symmetric positive definite matrices

Cho, Jin Seo; Phillips, Peter C. B. - In: Journal of econometrics 202 (2018) 1, pp. 45-56

Persistent link: https://www.econbiz.de/10011974552

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

Estimation in a linear model with serially correlated errors when observations are missing

Wansbeek, Tom; Kapteyn, Arie - 1984

Persistent link: https://www.econbiz.de/10002956872

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