ABSTRACT: Fund managers usually set aside a certain amount of cash to pay for possible redemptions, and it is believed that this will affect overall fund performance. This paper examines the ...

Abstract: Estimation errors are incurred when calculating the sample space-time covariance matrix. We formulate the variance of this estimator when operating on a finite sample set, compare it to ...

ABSTRACT: The paper introduces a new simple semiparametric estimator of the conditional variance-covariance and correlation matrix (SP-DCC). While sharing a similar sequential approach to existing ...

This article was originally published on Built In by Eric Kleppen. Variance is a powerful statistic used in data analysis and machine learning. It is one of the four main measures of variability along ...