96 citations · 408 across the 7 of their papers we have counts for
5 papers · 1 filter
Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
Szilard Pafka, Marc Potters, Imre Kondor
We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces…
Estimated Correlation Matrices and Portfolio Optimization
Szilard Pafka, Imre Kondor
Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description…
Noisy Covariance Matrices and Portfolio Optimization II
Szilard Pafka, Imre Kondor
Recent studies inspired by results from random matrix theory [1,2,3] found that covariance matrices determined from empirical financial time series appear to contain such a high am…
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…
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…