165 citations
- Stockholm UniversitySE8 papers
- Delft University of TechnologyNL5 papers
- Leibniz University HannoverDE5 papers
- Humboldt-Universität zu BerlinDE3 papers
- Eindhoven University of TechnologyNL2 papers
- GNA UniversityIN2 papers
- University of BolognaIT2 papers
- University of Duisburg-EssenDE2 papers
- Aalto UniversityFI1 paper
- AGH University of KrakowPL1 paper
- Agriculture and FoodAU1 paper
- Atilim UniversityTR1 paper
Showing 2014Show all
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q-fin.ST2014★ 113 cited
Estimation of the Global Minimum Variance Portfolio in High Dimensions
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator whic…
stat.AP2014★ 122 cited
Efficient Modeling and Forecasting of the Electricity Spot Price
Florian Ziel, Rick Steinert, Sven Husmann
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econom…