Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, Joanna Singular conditional autoregressive Wishart model for realized covariance matrices. (English) Zbl 07813778 J. Bus. Econ. Stat. 41, No. 3, 833-845 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{G. Alfelt} et al., J. Bus. Econ. Stat. 41, No. 3, 833--845 (2023; Zbl 07813778) Full Text: DOI OA License
Alfelt, Gustav; Mazur, Stepan On the mean and variance of the estimated tangency portfolio weights for small samples. (English) Zbl 1499.62373 Mod. Stoch., Theory Appl. 9, No. 4, 453-482 (2022). MSC: 62P05 62H10 62H12 15A09 91G10 PDFBibTeX XMLCite \textit{G. Alfelt} and \textit{S. Mazur}, Mod. Stoch., Theory Appl. 9, No. 4, 453--482 (2022; Zbl 1499.62373) Full Text: DOI