Original research

Shrinking beta

The authors shrink correlation and volatility separately and evaluate the predictive power of this approach, finding economically and statistically significant gains from applying more shrinkage to correlations than to volatilities.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: