Dynamic portfolio selection with sector-specific regularization

Author:

Hafner Christian M.ORCID,Wang Linqi

Funder

Belgian Federal Science Policy Office

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference46 articles.

1. Dynamic conditional correlation: on properties and estimation;Aielli;Journal of Business & Economic Statistics,2013

2. Approaching mean-variance efficiency for large portfolios;Ao;The Review of Financial Studies,2019

3. High-dimensional granger causality tests with an application to vix and news;Babii;Available at SSRN 3615718,2020

4. Machine learning time series regressions with an application to nowcasting;Babii;Journal of Business & Economic Statistics,2021

5. Prediction in dynamic models with time-dependent conditional variances;Baillie;Journal of Econometrics,1992

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