Gianluca De Nard

University of Zurich - Department of Banking and Finance

Department of Banking and Finance

Zürichbergstrasse 14

Zürich, Zürich CH-8032

Switzerland

http://denard.ch

SCHOLARLY PAPERS

5

DOWNLOADS

939

SSRN CITATIONS
Rank 44,854

SSRN RANKINGS

Top 44,854

in Total Papers Citations

12

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly

Journal of Financial Econometrics (2020, forthcoming) and University of Zurich, Department of Economics, Working Paper No. 290, Revised version
Number of pages: 28 Posted: 12 Jun 2018 Last Revised: 14 Oct 2020
Gianluca De Nard, Olivier Ledoit and Michael Wolf
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 356 (93,801)
Citation 13

Abstract:

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Dynamic conditional correlations, factor models, multivariate GARCH, Markowitz portfolio selection, nonlinear shrinkage

2.

Subsampled Factor Models for Asset Pricing: The Rise of Vasa

Number of pages: 62 Posted: 14 Apr 2020
Gianluca De Nard, Simon Hediger and Markus Leippold
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 206 (165,014)

Abstract:

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Large-dimensional factor models, machine learning, return prediction, subagging, subsampling.

3.

Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage

Journal of Financial Econometrics (2020, forthcoming)
Number of pages: 50 Posted: 17 Jun 2019 Last Revised: 07 Oct 2020
Gianluca De Nard
University of Zurich - Department of Banking and Finance
Downloads 192 (176,200)

Abstract:

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Blockbuster, large-dimensional covariance matrix estimation, linear and nonlinear shrinkage, Markowitz portfolio selection

4.

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

University of Zurich, Department of Economics, Working Paper No. 356, July 2020
Number of pages: 36 Posted: 25 Sep 2020
University of Zurich - Department of Banking and Finance, New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 143 (226,675)
Citation 1

Abstract:

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dynamic conditional correlations, intraday data, Markowitz portfolio selection, multivariate GARCH, nonlinear shrinkage

5.

A Large-Dimensional Test for Cross-Sectional Anomalies: Efficient Sorting Revisited

Number of pages: 44 Posted: 15 Apr 2020 Last Revised: 14 Oct 2020
Gianluca De Nard and Zhao Zhao
University of Zurich - Department of Banking and Finance and Huazhong University of Science and Technology - Department of Economics
Downloads 42 (462,152)

Abstract:

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Anomalies, cross-section of returns, efficient sorting, large dimensions, Markowitz portfolio selection, nonlinear shrinkage