JSTOR Daily

Sample Mean and Sample Variance: Their Covariance and Their (In)Dependence

It is of interest to know what the covariance of sample mean and sample variance is without the assumption of normality. In this article we study such a problem. We show a simple derivation of the ...
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 ...
Risk

An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation

The estimation of portfolio value-at-risk (VaR) requires a good estimate of the covariance matrix. As it is well known that a sample covariance matrix based on some historical rolling window is noisy ...
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 ...