Dynamic Realized Minimum Variance Portfolio Models (Q7023619)

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Dynamic Realized Minimum Variance Portfolio Models

scientific article; zbMATH DE number 7988152

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English	Dynamic Realized Minimum Variance Portfolio Models	scientific article; zbMATH DE number 7988152

Statements

instance of

scholarly article

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title

Dynamic Realized Minimum Variance Portfolio Models (English)

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Journal of Business and Economic Statistics

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publication date

21 February 2025

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MaRDI profile type

MaRDI publication profile

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cites work

High-frequency covariance estimates with noisy and asynchronous financial data

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Increased correlation among asset classes: are volatility or jumps to blame, or both?

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Using principal component analysis to estimate a high dimensional factor model with high-frequency data

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency

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A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation

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High-dimensional minimum variance portfolio estimation based on high-frequency data

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Strong mixing properties of linear stochastic processes

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Extended Bayesian information criteria for model selection with large model spaces

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Extended BIC for small-\(n\)-large-\(P\) sparse GLM

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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

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Threshold bipower variation and the impact of jumps on volatility forecasting

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Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data

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A generalized approach to portfolio optimization: improving performance by constraining portfolio norms

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Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data

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Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

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Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

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Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply

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I-LAMM for sparse learning: simultaneous control of algorithmic complexity and statistical error

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Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

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Microstructure noise in the continuous case: the pre-averaging approach

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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

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Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data

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Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data

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Sparse PCA-based on high-dimensional Itô processes with measurement errors

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Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

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Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations

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Large-dimensional factor modeling based on high-frequency observations

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Adaptive robust large volatility matrix estimation based on high-frequency financial data

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Adaptive Huber Regression

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Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors

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Q4864293

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Quasi-maximum likelihood estimation of volatility with high frequency data

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Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

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Estimating covariation: Epps effect, microstructure noise

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A Tale of Two Time Scales

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Identifiers

zbMATH Open document ID

1555.62437

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DOI

10.1080/07350015.2024.2308106

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Mathematics Subject Classification ID

62P20

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zbMATH DE Number

7988152

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Sitelinks

Mathematics(1 entry)

mardi Dynamic Realized Minimum Variance Portfolio Models