684 citations · 1.2k across the 32 of their papers we have counts for
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cond-mat.stat-mech2001★ 65 cited
Noisy Covariance Matrices and Portfolio Optimization
Szilard Pafka, Imre Kondor
According to recent findings [1,2], empirical covariance matrices deduced from financial return series contain such a high amount of noise that, apart from a few large eigenvalues…
cond-mat.stat-mech2001★ 62 cited
Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets
Szilard Pafka, Imre Kondor
We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model compl…