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Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models

Bodnar, Taras; Zabolotskyy, Taras - 2007

Persistent link: https://www.econbiz.de/10003635785

Statistical inference of the efficient frontier for dependent asset returns

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Statistical papers 50 (2009) 3, pp. 593-604

Persistent link: https://www.econbiz.de/10003844054

On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

Schmid, Wolfgang; Zabolotskyy, Taras - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 29-34

Persistent link: https://www.econbiz.de/10003649991

The distribution of the global minimum variance estimator in elliptical models

Bodnar, Taras; Schmid, Wolfgang - 2003

Persistent link: https://www.econbiz.de/10001916051

A test for the weights of the global minimum variance portfolio in an elliptical model

Bodnar, Taras; Schmid, Wolfgang - 2004

Persistent link: https://www.econbiz.de/10001916052

Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes

Bodnar, Taras - 2012

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10013100899