JSTOR Daily

Optimality of the Sample Variance-Covariance Matrix in Repeated Measurement Designs

This is a preview. Log in through your library . Abstract This paper adds motivations for the use of the sample variance-covariance matrix estimator $\hat{\Sigma}$ in repeated measurement designs by: ...
JSTOR Daily

The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...
International Monetary Fund

High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
Investopedia

Parametric Method in Value at Risk (VaR): Definition and Examples

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Gordon Scott has been an active investor and ...