Noise sensitivity of portfolio selection in constant conditional correlation GARCH models

This publication has 21 references indexed in Scilit:

• Noise sensitivity of portfolio selection under various risk measures
  Journal of Banking & Finance, 2007
• Signal and noise in correlation matrix
  Physica A: Statistical Mechanics and its Applications, 2004
• A well-conditioned estimator for large-dimensional covariance matrices
  Journal of Multivariate Analysis, 2004
• Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
  Journal of Empirical Finance, 2003
• Noisy covariance matrices and portfolio optimization II
  Physica A: Statistical Mechanics and its Applications, 2003
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
  International Journal of Theoretical and Applied Finance, 2000
• Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series
  Physical Review Letters, 1999
• Noise Dressing of Financial Correlation Matrices
  Physical Review Letters, 1999
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
  Econometrica, 1982
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
  Mathematics of the USSR-Sbornik, 1967