Miriam Isabel Seifert

Ruhr University of Bochum

Bochum, 44780

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

286

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Exponential Smoothing of Realized Portfolio Weights

Number of pages: 35 Posted: 16 Oct 2017 Last Revised: 29 Jul 2019
Vasyl Golosnoy, Bastian Gribisch and Miriam Isabel Seifert
Ruhr University of Bochum, University of Cologne - Department of Econometrics and Statistics and Ruhr University of Bochum
Downloads 164 (245,332)
Citation 1

Abstract:

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forecast combination, minimum variance portfolio, realized covariance matrix, variance change

2.

Statistical Inferences for Realized Portfolio Weights

Number of pages: 24 Posted: 04 Sep 2018
Vasyl Golosnoy, Wolfgang Schmid, Miriam Isabel Seifert and Taras Lazariv
Ruhr University of Bochum, Europa-Universitaet Viadrina, Ruhr University of Bochum and European University Viadrina Frankfurt (Oder)
Downloads 122 (309,289)
Citation 2

Abstract:

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minimum variance portfolio, realized covariance matrix, structural change, control charts, tests for portfolio weights