Wilfriedstrasse 6
Zürich, 8032
Switzerland
University of Zurich - Department of Economics
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Covariance matrix, Markovitz optimization, shrinkage, tracking error
Large-dimensional asymptotics, Markowitz portfolio selection, nonlinear shrinkage
Diagonal-Vech model multivariate GARCH, unrestricted estimation
Cross-section of returns, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage
Composite likelihood, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage
Central Limit Theorem, Dependent Data, Gaussian AR(1), Monte-Carlo, Asymptotic Distributions
Kernel estimation, Hilbert transform, large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance
Large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance
Large-dimensional asymptotics, nonlinear shrinkage estimation, random matrix theory, rotation equivariance, Stein's loss
Monetary policy, redistribution, networks
Money, redistribution, policy, central bank, social network, topology
large-dimensional asymptotics, covariance matrix eigenvalues, nonlinear shrinkage, principal component analysis
Dynamic conditional correlations, factor models, multivariate GARCH, Markowitz portfolio selection, nonlinear shrinkage
Customer satisfaction, financial performance, long-short portfolio, mispricing
Currency competition, commodity money, fiat money, gold, safe haven, search models
Bootstrap, HAC inference, Variance
Asymptotic distribution, bias correction, eigenvectors and eigenvalues, principal component analysis, random matrix theory, sample covariance matrix, shrinkage estimator, Stieltjes transform
Democracy, choice, polyarchy, stability, competition, effciency
dynamic conditional correlations, factor models, large-dimensional asymptotics, Markowitz portfolio selection, rotation equivariance
Bootstrap, HAC Inference, Kurtosis, Sharpe Ratio, Sknewness, Variance
Large-dimensional asymptotics, numerical optimization, random matrix theory, spectrum estimation
DCC, nonlinear shrinkage, leverage constraints, large portfolios, risk reduction, Markowitz mean-variance efficiency, multivariate GARCH
large-dimensional asymptotics, random matrix theory, rotation equivariance
Concentration asymptotics, equality test, sphericity test
