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

From MaRDI portal
Set OpenAlex properties.
Created claim: Wikidata QID (P12): Q129429365, #quickstatements; #temporary_batch_1728077456503
 
(One intermediate revision by one other user not shown)
Property / cites work
 
Property / cites work: Efficient estimation of approximate factor models via penalized maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Latent variable graphical model selection via convex optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrap methods: another look at the jackknife / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling the persistence of conditional variances / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tuning-parameter selection in regularized estimations of large covariance matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sparse inverse covariance estimation with the graphical lasso / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computing the nearest correlation matrix--a problem from finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regression and time series model selection in small samples / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3185327 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonlinear shrinkage estimation of large-dimensional covariance matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of Financial Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hierarchically nested factor model from multivariate data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5359675 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model selection and estimation in the Gaussian graphical model / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q129429365 / rank
 
Normal rank

Latest revision as of 23:12, 4 October 2024

scientific article; zbMATH DE number 7032861
Language Label Description Also known as
English
Estimating a covariance matrix for market risk management and the case of credit default swaps
scientific article; zbMATH DE number 7032861

    Statements

    Estimating a covariance matrix for market risk management and the case of credit default swaps (English)
    0 references
    0 references
    0 references
    6 March 2019
    0 references
    portfolio risk
    0 references
    correlation matrices
    0 references
    matrix loss functions
    0 references
    margin requirements
    0 references
    0 references
    0 references
    0 references

    Identifiers