It is increasingly important in financial economics to estimate volatilities of asset returns. However, most of the available methods are not directly applicable when the number of assets involved is large, due to the lack of accuracy in estimating high-dimensional matrices. Therefore it is...

Cook and Forzani (2008) proposed covariance reducing models as a method for modeling the differences among k covariance matrices. The model was developed via a property of a conditional distribution for the sample covariance matrices and this conditional distribution was used to obtain maximum...

Many clustering methods require that the number of clusters believed present in a given data set be specified a priori, and a number of methods for estimating the number of clusters have been developed. However, the selection of the number of clusters is well recognized as a difficult and open...