Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
Year of publication: |
2023
|
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Authors: | De Nard, Gianluca ; Zhao, Zhao |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 72.2023, p. 23-35
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Subject: | Double-shrinkage | Factor models | Markowitz portfolio selection | Multivariate GARCH | Nonlinear shrinkage | Regularization | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance | Multivariate Analyse | Multivariate analysis | Faktorenanalyse | Factor analysis | Korrelation | Correlation |
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