interdependence structures across multiple sectors. The estimation procedure is based on a multistep least squares method which is …

procedures for the estimation of the factors and parameter estimation by maximum likelihood and Bayesian methods. An illustration …

literature. In contrast, studies on relative location tend to be weakly linked to theory, but apply relatively sophisticated … appropriateness of such models, and identify areas of potential concern. The rather weak linkage between theory and operational models …

the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and …

simulation, thus enabling straightforward parameter estimation by standard maximum likelihood. We use the new mixed …

We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental … about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …