3 citations · 3 across the 3 of their papers we have counts for
3 papers
Consistent Estimation of the High-Dimensional Efficient Frontier
Taras Bodnar, Nikolaus Hautsch, Yarema Okhrin +1
In this paper, we analyze the asymptotic behavior of the main characteristics of the mean-variance efficient frontier employing random matrix theory. Our particular interest covers…
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting
Rafael Reisenhofer, Xandro Bayer, Nikolaus Hautsch
Despite the impressive success of deep neural networks in many application areas, neural network models have so far not been widely adopted in the context of volatility forecasting…
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec +1
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous ob…