Estimating correlation and covariance matrices by weighting of market similarity

By Münnix M.C.   Schäfer R.   Grothe O.  

Quantitative Finance, Vol. 14, Iss. 5, 2014-05 ,pp. : 931-939

Routledge Ltd

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Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage

By Giordani Paolo   Mun Xiuyan   Kohn Robert  

Journal of Financial Econometrics, Vol. 11, Iss. 1, 2012-12 ,pp. : 154-192

Oxford University Press

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A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices

By Bonato M.   Caporin M.   Ranaldo A.  

The European Journal of Finance, Vol. 18, Iss. 9, 2012-10 ,pp. : 761-774

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When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators

By Pantaleo Ester   Tumminello Michele   Lillo Fabrizio   Mantegna Rosario N.  

Quantitative Finance, Vol. 11, Iss. 7, 2011-07 ,pp. : 1067-1080

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Empirical estimation of default and asset correlation of large corporates and banks in India

By Bandyopadhyay Arindam   Ganguly Sonali  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 14, Iss. 1, 2013-01 ,pp. : 87-99

Emerald Group Publishing Ltd

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