Search Results - subject:"precision matrix"

Robust estimation of time-dependent precision matrix with application to the cryptocurrency market

Stolfi, Paola; Bernardi, Mauro; Vergni, Davide - In: Financial innovation : FIN 8 (2022), pp. 1-25

this regard, fundamental tools that increasingly attract research interests are precision matrix and graphical models … divergence estimator for a time-varying precision matrix that can manage both the extreme events and time-dependency that affect …

Persistent link: https://www.econbiz.de/10013272673

Estimation of high-dimensional vector autoregression via sparse precision matrix

Poignard, Benjamin; Asai, Manabu - In: The econometrics journal 26 (2023) 2, pp. 307-326

Persistent link: https://www.econbiz.de/10014319364

Large portfolio optimisation approaches

Ulasan, Esra; Özlem Önder, A. - In: The journal of asset management : a major new, … 24 (2023) 6, pp. 485-497

Persistent link: https://www.econbiz.de/10014419527

A Bayesian graphical approach for large-scale portfolio management with fewer historical data

Oya, Sakae - In: Asia Pacific financial markets 29 (2022) 3, pp. 507-526

Persistent link: https://www.econbiz.de/10013397655

Estimation of high-dimensional seemingly unrelated regression models

Tan, Lidan; Chiong, Khai Xiang; Moon, Hyungsik Roger - In: Econometric reviews 40 (2021) 9, pp. 830-851

Persistent link: https://www.econbiz.de/10012624541

Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination

Lee, Tae-hwy; Mao, Millie Yi; Ullah, Aman - In: Econometric reviews 40 (2021) 10, pp. 905-918

Persistent link: https://www.econbiz.de/10012624564

A nodewise regression approach to estimating large portfolios

Callot, Laurent; Caner, Mehmet; Özlem Önder, A.; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 520-531

Persistent link: https://www.econbiz.de/10012499096

Cellwise robust regularized discriminant analysis

Aerts, S.; Wilms, I. - 2017

Persistent link: https://www.econbiz.de/10011674141

High-dimensional minimum variance portfolio estimation based on high-frequency data

Cai, T. Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 214 (2020) 2, pp. 482-494

Persistent link: https://www.econbiz.de/10012439068

Ultrahigh dimensional precision matrix estimation via refitted cross validation

Wang, Luheng; Chen, Zhao; Wang, Christina Dan; Li, Runze - In: Journal of econometrics 215 (2020) 1, pp. 118-130

Persistent link: https://www.econbiz.de/10012439399