Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage

Author： Giordani Paolo   Mun Xiuyan   Kohn Robert  

Publisher： Oxford University Press

ISSN： 1479-8417

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

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Empirical properties of large covariance matrices

By Zumbach Gilles  

Quantitative Finance, Vol. 11, Iss. 7, 2011-07 ,pp. : 1091-1102

Routledge Ltd

Access to resources Recommend Favorite

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

Access to resources Recommend Favorite

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

Routledge Ltd

Access to resources Recommend Favorite

Efficient estimation of drift parameters in stochastic volatility models

By Gloter Arnaud  

Finance and Stochastics, Vol. 11, Iss. 4, 2007-10 ,pp. : 495-519

Springer Publishing Company

Access to resources Recommend Favorite

Estimation of multiple period expected shortfall and median shortfall for risk management

By So Mike K. P.   Wong Chi-Ming  

Quantitative Finance, Vol. 12, Iss. 5, 2012-05 ,pp. : 739-754

Routledge Ltd

Access to resources Recommend Favorite