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Covariance estimation using random permutations

Padmakumari, Lakshmi; Maheswaran, S. - In: International journal of financial engineering 5 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011922956

Closed form pricing formulas for discretely sampled generalized variance swaps

Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881

Persistent link: https://www.econbiz.de/10011308159

Valuation of options on discretely sampled variance : a general analytic approximation

Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66

Persistent link: https://www.econbiz.de/10011656703

Efficient asymptotic variance reduction when estimating volatility in high frequency data

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142

Persistent link: https://www.econbiz.de/10012110370

Adaptive stochastic variance reduction for subsampled Newton method with cubic regularization

Zhang, Junyu; Xiao, Lin; Zhang, Shuzhong - In: INFORMS journal on optimization 4 (2022) 1, pp. 45-64

Persistent link: https://www.econbiz.de/10013184948

Sparse Bayesian time-varying covariance estimation in many dimensions

Kastner, Gregor - In: Journal of econometrics 210 (2019) 1, pp. 98-115

Persistent link: https://www.econbiz.de/10012303382

Comparing high-dimensional conditional covariance matrices : implications for portfolio selection

Moura, Guilherme Valle; Santos, André A. P.; Ruiz, Esther - In: Journal of banking & finance 118 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012521005

Tail distribution of the maximum of correlated Gaussian random variables

Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015

completely new sequential importance sampling estimator of the desired tail probability. Numerical experiments suggest that the … sequential importance sampling estimator can be significantly more efficient than its competitor. …

Persistent link: https://www.econbiz.de/10011431354

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

Model-based measurement of actual volatility in high-frequency data

Jungbacker, Borus; Koopman, Siem Jan - 2004

are based on importance sampling techniques. It is shown that such Monte Carlo techniques can be employed successfully for …

Persistent link: https://www.econbiz.de/10011342558