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A Test of Covariance-Matrix Forecasting Methods
16 references·1 citing·32 second hop
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References

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  • 2002Dynamic Conditional Correlation7,126 cited
  • 1952Portfolio Selection4,609 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
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  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2006Journal of Applied Econometrics979 cited
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  • 2008Toward Maximum Diversification527 cited
  • 2002GO‐GARCH: a multivariate generalized orthogonal GARCH model475 cited
  • 1999Volatility Timing in Mutual Funds: Evidence from Daily Returns389 cited
  • 2006Minimum-Variance Portfolios in the U.S. Equity Market

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  • 2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification36 cited