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A nested factor model for non-linear dependencies in stock returns
12 references·0 citing·34 second hop
A nested factor model for non-linear dependencies in stock returns (2015)A nested factor model for non-linear depe…Modeling the Dynamics of Correlations among Implied Volatilities (2014)Modeling the Dynamics of Corr…The Volatility Factor Structure (2012)The Volatility Factor Structu…THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL (2010)THE JOINT DISTRIBUTION OF STO…High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation (2010)High-dimensionality effects i…Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (2006)Theory of Financial Risk and …Theory of Financial Risk and Derivative Pricing (2003)Theory of Financial Risk and …Correlation structure of extreme stock returns (2001)Correlation structure of extr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)PORTFOLIO SELECTION* (1952)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Estimation of the global minimum variance portfolio in high dimensions (2017)High dimensional minimum variance portfolio estimation under statistical factor models (2020)Optimal Shrinkage-Based Portfolio Selection in High Dimensions (2021)Modern Portfolio Theory and Investment Analysis. (1982)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Random matrix approach to cross correlations in financial data (2002)Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Empirical properties of asset returns: stylized facts and statistical issues (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Robust normal mixtures for financial portfolio allocation (2017)FOREIGN ECONOMIC POTENTIAL AND ITS IMPACT ON SUSTAINABILITY OF THE REGIONAL ECONOMY (2022)IMPORT SUBSTITUTION AS A KEY FACTOR IN STRENGTHENING THE SOVEREIGNTY AND ECONOMIC SECURITY OF MODERN RUSSIA (2022)Multivariate Simultaneous Generalized ARCH (1995)Institutional Investors and Stock Market Volatility (2006)Correlation, hierarchies, and networks in financial markets (2010)Volatility Is Rough (2018)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series (2012)Web Search Queries Can Predict Stock Market Volumes (2012)Multifactor Explanations of Asset Pricing Anomalies (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1952Portfolio Selection4,609 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 2003Theory of Financial Risk and Derivative Pricing879 cited
  • 2006Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management246 cited
  • 2010High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation114 cited
  • 2001Correlation structure of extreme stock returns66 cited
  • 2010THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL59 cited
  • 2014Modeling the Dynamics of Correlations among Implied Volatilities51 cited
  • 2012The Volatility Factor Structure29 cited

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