Estimating a covariance matrix for market risk management and the case of credit default swaps (Q4628036): Difference between revisions

@@ Property / describes a project that uses @@
+FinTS
@@ Property / describes a project that uses: FinTS / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+glasso
@@ Property / describes a project that uses: glasso / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+ElemStatLearn
@@ Property / describes a project that uses: ElemStatLearn / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2018.1494850
+Normal rank
@@ Property / OpenAlex ID @@
+W3122448341
@@ Property / OpenAlex ID: W3122448341 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient estimation of approximate factor models via penalized maximum likelihood
+Normal rank
@@ Property / cites work @@
+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
+Normal rank
@@ Property / cites work @@
+Latent variable graphical model selection via convex optimization
+Normal rank
@@ Property / cites work @@
+Bootstrap methods: another look at the jackknife
@@ Property / cites work: Bootstrap methods: another look at the jackknife / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling the persistence of conditional variances
+Normal rank
@@ Property / cites work @@
+Tuning-parameter selection in regularized estimations of large covariance matrices
+Normal rank
@@ Property / cites work @@
+Sparse inverse covariance estimation with the graphical lasso
+Normal rank
@@ Property / cites work @@
+Computing the nearest correlation matrix--a problem from finance
+Normal rank
@@ Property / cites work @@
+Regression and time series model selection in small samples
+Normal rank
@@ Property / cites work @@
+Q3185327
@@ Property / cites work: Q3185327 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonlinear shrinkage estimation of large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Analysis of Financial Time Series
@@ Property / cites work: Analysis of Financial Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Hierarchically nested factor model from multivariate data
+Normal rank
@@ Property / cites work @@
+Q5359675
@@ Property / cites work: Q5359675 / rank @@
+Normal rank
@@ Property / cites work @@
+Model selection and estimation in the Gaussian graphical model
+Normal rank
@@ Property / Wikidata QID @@
+Q129429365
@@ Property / Wikidata QID: Q129429365 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4628036