113 citations · 569 across the 28 of their papers we have counts for
4 papers · 1 filter
Log determinant of large correlation matrices under infinite fourth moment
Johannes Heiny, Nestor Parolya
In this paper, we show the central limit theorem for the logarithmic determinant of the sample correlation matrix constructed from the -dimensional data m…
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Taras Bodnar, Nestor Parolya, Erik Thorsén
The main contribution of this paper is the derivation of the asymptotic behaviour of the out-of-sample variance, the out-of-sample relative loss, and of their empirical counterpart…
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
Taras Bodnar, Nestor Parolya, Erik Thorsen
In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage t…
Logarithmic law of large random correlation matrices
Nestor Parolya, Johannes Heiny, Dorota Kurowicka
Consider a random vector , where the elements of the vector are i.i.d. real-valued random variables with zero mean and finite…