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Found 6 papers, 1 papers with code
Study of Stylized Facts in Stock Market Data
A property of data which is common across a wide range of instruments, markets and time periods is known as stylized empirical fact in the financial statistics literature.
Limiting Spectral Distribution of High-dimensional Hayashi-Yoshida Estimator of Integrated Covariance Matrix
In this paper, the estimation of the Integrated Covariance matrix from high-frequency data, for high dimensional stock price process, is considered.
Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times.
Copula estimation for nonsynchronous financial data
We propose a consistent estimator of the correlation coefficient in case of Elliptical copula and show that the plug-in copula estimator is uniformly convergent.
Sparse Portfolio selection via Bayesian Multiple testing
The statistical power of the Bayes Oracle portfolio is uniformly better for the $k$-factor model ($k>1$) than the one factor CAPM.
