Portfolio risk measurement: the estimation of the covariance of stock returns [PDF]
A covariance matrix of asset returns plays an important role in modern portfolio analysis and risk management. Despite the recent interests in improving the estimation of a return covariance matrix, there remain many areas for further investigation. This
Liu, Lan
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A new class of nonseparable space-time covariance models [PDF]
, 2008 The aim of this work is to construct nonseparable, stationary covariance functions for processes that vary continuously in space and time. Stochastic modeling of phenomena over space and time is important in many areas of applications such as ...
Fonseca, Thaís C. O., Steel, Mark F. J.
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Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations [PDF]
In this paper, we provide a framework to evaluate finite sample MSE of several realized covariance estimators when using nonsynchronous observations contaminated with microstructure noise. This framework enables us to examine different estimators.
Taro Kanatani
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Automatic positive semidefinate HAC covariance matrix and GMM estimation [PDF]
, 2005 This paper proposes a new class of heteroskedastic and autocorrelation consistent (HAC) covariance matrix estimators. The standard HAC estimation method reweights estimators of the autocovariances.
Smith, Richard J.
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"Maximum Covariance Di erence Test for Equality of Two Covariance Matrices" [PDF]
We propose a test of equality of two covariance matrices based on the maximum standardized di erence of scalar covariances of two sample covariance matrices.We derive the tail probability of the asymptotic null distribution of the test statistic by the ...
Akimichi Takemura, Satoshi Kuriki
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Author Correction: Spatial covariance analysis reveals the residue-by-residue thermodynamic contribution of variation to the CFTR fold. [PDF]
Commun Biol, 2022 Anglès F, Wang C, Balch WE.
europepmc +1 more source
Optimization of Optical Follow-up Strategies Based on Covariance Analysis [PDF]
, 2015 An in-depth study, using simulations and covariance analysis, is performed to identify the optimal sequence of observations to obtain the most accurate orbit propagation.
Cordelli, Emiliano +2 more
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A blocking and regularization approach to high dimensional realized covariance estimation [PDF]
, 2009 We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix ...
Hautsch, Nikolaus +6 more
core +1 more source
Spatial covariance analysis reveals the residue-by-residue thermodynamic contribution of variation to the CFTR fold. [PDF]
Commun Biol, 2022 Anglès F, Wang C, Balch WE.
europepmc +1 more source
Common and Specific Characteristics of Adolescent Bipolar Disorder Types I and II: A Combined Cortical Thickness and Structural Covariance Analysis. [PDF]
Front Psychiatry, 2021 Kuang L +9 more
europepmc +1 more source