Katherine Ensor

Rice University - George R. Brown School of Engineering

United States

SCHOLARLY PAPERS

2

DOWNLOADS

730

CITATIONS

4

Scholarly Papers (2)

1.

Covariance Estimation in Dynamic Portfolio Optimization: A Realized Single Factor Model

AFA 2010 Atlanta Meetings Paper
Number of pages: 38 Posted: 22 Mar 2009 Last Revised: 17 Oct 2009
Lada M. Kyj, Barbara Ostdiek and Katherine Ensor
Humboldt University of Berlin, Rice University - Jesse H. Jones Graduate School of Business and Rice University - George R. Brown School of Engineering
Downloads 595 (43,827)
Citation 5

Abstract:

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Factor Model, Realized Covariance, Volatilty Timing

2.

Estimating the Term Structure With a Semiparametric Bayesian Hierarchical Model: An Application to Corporate Bonds

The Journal of the American Statistical Association, 2011
Number of pages: 33 Posted: 12 Dec 2009 Last Revised: 29 Mar 2011
Alejandro Cruz-Marcelo, Katherine Ensor and Gary R. Rosner
Capital One Auto Finance, Rice University - George R. Brown School of Engineering and University of Texas at Houston - MD Anderson Cancer Center
Downloads 135 (210,330)
Citation 1

Abstract:

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Credit spread; Dirichlet process mixture; Hierarchical model; Nonparametric Bayes; Treasury bond; Yield curve.