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1
Demystifying Time-Series Momentum Strategies : Volatility Estimators, Trading Rules and Pairwise Correlations
Baltas, Nick
-
2019
dynamic leverage mechanism. The
correlation
-adjusted variant outperforms the naive implementation of the strategy and the …
Persistent link: https://www.econbiz.de/10012905544
Saved in:
2
A regularized high-dimensional positive definite covariance estimator with high-frequency data
Cui, Liyuan
;
Hong, Yongmiao
;
Li, Yingxing
;
Wang, Junhui
- In:
Management science : journal of the Institute for …
70
(
2024
)
10
,
pp. 7242-7264
Persistent link: https://www.econbiz.de/10015143872
Saved in:
3
Conditional
correlation
models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 69-87
Persistent link: https://www.econbiz.de/10010380478
Saved in:
4
Equilibrium moment restrictions on asset returns : normal and crisis periods
Simmons, Peter J.
;
Tantisantiwong, Nongnuch
- In:
The European journal of finance
20
(
2014
)
10/12
,
pp. 1064-1089
Persistent link: https://www.econbiz.de/10010465917
Saved in:
5
Three essays on modeling conditional
correlation
Sheppard, Kevin
-
2004
Persistent link: https://www.econbiz.de/10003550225
Saved in:
6
A spectral perspective on excess volatility
Livan, Giacomo
;
Alfarano, Simone
;
Milaković, Mishael
; …
- In:
Applied economics letters
22
(
2015
)
7/9
,
pp. 745-750
Persistent link: https://www.econbiz.de/10010530017
Saved in:
7
Endogeneity of return parameters and portfolio selection : an analysis on implied covariances
Park, Koohyun
;
Rhee, Thomas
- In:
Asia-Pacific journal of financial studies
46
(
2017
)
5
,
pp. 760-789
Persistent link: https://www.econbiz.de/10011779403
Saved in:
8
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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9
A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford
;
Feng, Phoenix
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
Saved in:
10
Beta-adjusted covariance estimation
Boudt, Kris
;
Dragun, Kirill
;
Sauri, Orimar
;
Vanduffel, …
-
2021
Persistent link: https://www.econbiz.de/10012432948
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