SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Large Dynamic Covariance Matrices
14 references·13 citing·30 second hop
Large Dynamic Covariance Matrices (2017)Large Dynamic Covariance MatricesNonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2017)Nonlinear Shrinkage of the Co…Dynamic Conditional Correlation: On Properties and Estimation (2013)Dynamic Conditional Correlati…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Testing and Valuing Dynamic Correlations for Asset Allocation (2006)Testing and Valuing Dynamic C…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The efficient market inefficiency of capitalization–weighted stock portfolios (1991)The efficient market ineffici…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Large dynamic covariance matrices: Enhancements based on intraday data (2022)Large dynamic covariance matr…Dynamic relationships among green bonds, CO2 emissions, and oil prices (2022)Dynamic relationships among g…Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics (2022)Corporate credit risk counter…The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation (2020)The Power of (Non-)Linear Shr…High dimensional minimum variance portfolio estimation under statistical factor models (2020)High dimensional minimum vari…Fitting Vast Dimensional Time-Varying Covariance Models (2020)Fitting Vast Dimensional Time…Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection (2020)Comparing high-dimensional co…Artificial Intelligence Alter Egos: Who might benefit from robo-investing? (2020)Artificial Intelligence Alter…Large-scale portfolio allocation under transaction costs and model uncertainty (2019)Large-scale portfolio allocat…Multivariate Leverage Effects and Realized Semicovariance GARCH Models (2018)Multivariate Leverage Effects…Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2018)Factor Models for Portfolio S…Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2018)Factor Models for Portfolio S…Interconnectedness in the Global Financial Market (2016)Interconnectedness in the Glo…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)A Simplified Model for Portfolio Analysis (1963)Chapter 4 Forecast Combinations (2006)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Deep learning-based feature engineering for stock price movement prediction (2018)Financial time series forecasting with multi-modality graph neural network (2021)Portfolio Selection (1952)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)An Engine, Not a Camera (2006)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2013Dynamic Conditional Correlation: On Properties and Estimation423 cited
  • 1991The efficient market inefficiency of capitalization–weighted stock portfolios369 cited
  • 2006Testing and Valuing Dynamic Correlations for Asset Allocation324 cited
  • 2017Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks304 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2020Fitting Vast Dimensional Time-Varying Covariance Models152 cited
  • 2016Interconnectedness in the Global Financial Market143 cited
  • 2018Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly105 cited
  • 2020High dimensional minimum variance portfolio estimation under statistical factor models72 cited
  • 2020The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation64 cited
  • 2020Artificial Intelligence Alter Egos: Who might benefit from robo-investing?58 cited
  • 2019Large-scale portfolio allocation under transaction costs and model uncertainty49 cited
  • 2018Multivariate Leverage Effects and Realized Semicovariance GARCH Models42 cited
  • 2018Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly40 cited
  • 2022Large dynamic covariance matrices: Enhancements based on intraday data39 cited
  • 2022Dynamic relationships among green bonds, CO2 emissions, and oil prices33 cited
  • 2022Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics28 cited
  • 2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection27 cited