Risk

Converting a covariance matrix from local currencies to a common currency

This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...
Risk

Evaluating covariance matrix forecasts in a value-at-risk framework

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models are available for generating such forecasts ...
Simon Fraser University

Covariance Matrix

The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...
International Monetary Fund

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

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...
JSTOR Daily

Parsimonious Covariance Matrix Estimation for Longitudinal Data

This article proposes a data-driven method to identify parsimony in the covariance matrix of longitudinal data and to exploit any such parsimony to produce a statistically efficient estimator of the ...
Simon Fraser University

Covariance Matrix

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...