期刊
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
卷 37, 期 2, 页码 363-375出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/07350015.2017.1345683
关键词
Composite likelihood; Dynamic conditional correlation; GARCH; Markowitz portfolio selection; Nonlinear shrinkage
Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating second moments can be approached from two angles: time series and the cross-section. In time series, the key is to account for conditional heteroscedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH family started by Engle (1982). In the cross-section, the key is to correct in-sample biases of sample covariance matrix eigenvalues; a favored model is nonlinear shrinkage, derived from Random Matrix Theory (RMT). The present article marries these two strands of literature to deliver improved estimation of large dynamic covariance matrices. Supplementary material for this article is available online.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据