相关参考文献
注意：仅列出部分参考文献，下载原文获取全部文献信息。Large Dynamic Covariance Matrices
Robert F. Engle et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2019)
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Tim Bollerslev et al.
JOURNAL OF ECONOMETRICS (2018)
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Yacine Ait-Sahalia et al.
JOURNAL OF ECONOMETRICS (2017)
MODELING AND FORECASTING LARGE REALIZED COVARIANCE MATRICES AND PORTFOLIO CHOICE
Laurent A. F. Callot et al.
JOURNAL OF APPLIED ECONOMETRICS (2017)
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
Jianqing Fan et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2016)
Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs
Victor DeMiguel et al.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2015)
ESTIMATING THE QUADRATIC COVARIATION MATRIX FROM NOISY OBSERVATIONS: LOCAL METHOD OF MOMENTS AND EFFICIENCY
Markus Bibinger et al.
ANNALS OF STATISTICS (2014)
THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS
Axel Gandy et al.
MATHEMATICAL FINANCE (2013)
On portfolio optimization: Imposing the right constraints
Patrick Behr et al.
JOURNAL OF BANKING & FINANCE (2013)
SEMIPARAMETRIC VECTOR MEM
Fabrizio Cipollini et al.
JOURNAL OF APPLIED ECONOMETRICS (2013)
NONLINEAR SHRINKAGE ESTIMATION OF LARGE-DIMENSIONAL COVARIANCE MATRICES
Olivier Ledoit et al.
ANNALS OF STATISTICS (2012)
The conditional autoregressive Wishart model for multivariate stock market volatility
Vasyl Golosnoy et al.
JOURNAL OF ECONOMETRICS (2012)
Vast Portfolio Selection With Gross-Exposure Constraints
Jianqing Fan et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2012)
Multivariate high-frequency-based volatility (HEAVY) models
Diaa Noureldin et al.
JOURNAL OF APPLIED ECONOMETRICS (2012)
HIGH-DIMENSIONAL COVARIANCE MATRIX ESTIMATION IN APPROXIMATE FACTOR MODELS
Jianqing Fan et al.
ANNALS OF STATISTICS (2011)
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Torben G. Andersen et al.
JOURNAL OF ECONOMETRICS (2011)
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Ole E. Barndorff-Nielsen et al.
JOURNAL OF ECONOMETRICS (2011)
Estimating covariation: Epps effect, microstructure noise
Lan Zhang
JOURNAL OF ECONOMETRICS (2011)
Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
Minjing Tao et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2011)
MODELLING AND FORECASTING MULTIVARIATE REALIZED VOLATILITY
Roxana Chiriac et al.
JOURNAL OF APPLIED ECONOMETRICS (2011)
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Kim Christensen et al.
JOURNAL OF ECONOMETRICS (2010)
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Yacine Ait-Sahalia et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2010)
REALISING THE FUTURE: FORECASTING WITH HIGH-FREQUENCY-BASED VOLATILITY (HEAVY) MODELS
Neil Shephard et al.
JOURNAL OF APPLIED ECONOMETRICS (2010)
Sequential conditional correlations: Inference and evaluation
Alessandro Palandri
JOURNAL OF ECONOMETRICS (2009)
The Wishart Autoregressive process of multivariate stochastic volatility
C. Gourieroux et al.
JOURNAL OF ECONOMETRICS (2009)
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
Monica Billio et al.
MATHEMATICS AND COMPUTERS IN SIMULATION (2009)
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
Victor DeMiguel et al.
REVIEW OF FINANCIAL STUDIES (2009)
High dimensional covariance matrix estimation using a factor model
Jianqing Fan et al.
JOURNAL OF ECONOMETRICS (2008)
A comprehensive look at the empirical performance of equity premium prediction
Ivo Welch et al.
REVIEW OF FINANCIAL STUDIES (2008)
Optimal portfolio choice with parameter uncertainty
Raymond Kan et al.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2007)
Financial econometric analysis at ultra-high frequency: Data handling concerns
C. T. Brownlees et al.
COMPUTATIONAL STATISTICS & DATA ANALYSIS (2006)
Multivariate GARCH models: A survey
L Bauwens et al.
JOURNAL OF APPLIED ECONOMETRICS (2006)
A forecast comparison of volatility models: Does anything beat a GARCH(1,1)?
PR Hansen et al.
JOURNAL OF APPLIED ECONOMETRICS (2005)
Risk reduction in large portfolios: Why imposing the wrong constraints helps
R Jagannathan et al.
JOURNAL OF FINANCE (2003)
Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models
R Engle
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2002)
Asset pricing models:: Implications for expected returns and portfolio selection
AC MacKinlay et al.
REVIEW OF FINANCIAL STUDIES (2000)
Comparing asset pricing models:: an investment perspective
L Pástor et al.
JOURNAL OF FINANCIAL ECONOMICS (2000)
Portfolio selection and asset pricing models
L Pástor
JOURNAL OF FINANCE (2000)
分享论文
