Kirill Dragun

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

SCHOLARLY PAPERS

3

DOWNLOADS

723

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

ETF Basket-Adjusted Covariance Estimation

Number of pages: 58 Posted: 02 Mar 2021 Last Revised: 09 Jun 2022
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 516 (83,225)
Citation 1

Abstract:

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High-frequency data; realized covariances, ETF, asynchronicity, stock-ETF covariation, Localized Hayashi-Yoshida, Index tracking

2.

The Optimal Payoff for a Yaari Investor

Number of pages: 35 Posted: 13 Jan 2021 Last Revised: 22 Jun 2022
Kris Boudt, Kirill Dragun and Steven Vanduffel
Ghent University, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 106 (379,291)
Citation 1

Abstract:

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Preferences, Optimization, Hoeffding-Fr├ęchet bounds.

3.

Supplementary Appendix to Beta-Adjusted Covariance Estimation

Number of pages: 19 Posted: 14 Apr 2021
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 101 (392,006)

Abstract:

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BAC, Covariance, ETF, Python, R