Apostolos Kourtis

TL;DR: In this paper, the authors proposed a new estimation framework that focuses on enhancing portfolio performance by applying the statistical methodology of shrinkage directly to the inverse covariance matrix using two non-parametric methods.

TL;DR: In this paper, the authors proposed a new estimation framework that focuses on enhancing portfolio performance by applying the statistical methodology of shrinkage directly to the inverse covariance matrix using two non-parametric methods.

TL;DR: In this article, the predictive ability and economic value of implied, realized and GARCH volatility models for 13 equity indices from 10 countries were compared for international portfolio diversification, and the Heterogeneous Autoregressive model offered the most accurate predictions while an implied volatility model that corrects for the volatility risk premium is superior at the monthly horizon.

TL;DR: In this article, the authors proposed the development of futures and options contracts on standardized wine price indices in order to enhance market completeness and to address the risk management needs of all market participants.

TL;DR: The authors compare the predictive ability and economic value of implied, realized, and GARCH volatility models for 13 equity indices from 10 countries and find that implied volatility offers significant improvements against historical methods for international portfolio diversification.