Concepedia

Lada M. Kyj

LM

5

Publications

272

Citations

5

H-Index

2009

Active since

Affiliations

University of Vienna(Current)

University of Cambridge

Humboldt-Universität zu Berlin

Lada M. Kyj is an author at University of Vienna specializing in finance, portfolio optimization, and asset pricing.

Top concepts

FinanceBusinessManagementStatisticsEngineeringAsset PricingPortfolio ManagementFinancial EngineeringPortfolio OptimizationBig Data

Publications per year

2009–2013

5

Publications

5

A blocking and regularization approach to high‐dimensional realized covariance estimation

Nikolaus Hautsch, Lada M. Kyj, Roel C. A. Oomen · Journal of Applied Econometrics · 2010 · 129 citations

Empirical Finance, Engineering, Covariance Estimation +18

Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

Nikolaus Hautsch, Lada M. Kyj, Peter Malec · Journal of Applied Econometrics · 2013 · 80 citations

Portfolio Optimization, Engineering, Asset Pricing +15

Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

Nikolaus Hautsch, Lada M. Kyj, Peter Malec · SSRN Electronic Journal · 2013 · 29 citations · Full text

Covariance Estimation in Dynamic Portfolio Optimization: A Realized Single Factor Model

Lada M. Kyj, Barbara Ostdiek, Katherine B. Ensor · SSRN Electronic Journal · 2009 · 18 citations · Full text

The Merit of High-Frequency Data in Portfolio Allocation

Nikolaus Hautsch, Lada M. Kyj, Peter Malec · SSRN Electronic Journal · 2011 · 16 citations · Full text

Portfolio Optimization, Asset Pricing, High-frequency Data +7

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