The increase in trading frequency of Exchanged Traded Funds (ETFs) presents a positive externality for financial risk management when the price of the ETF is available at a higher frequency than the price of the component stocks. The positive spillover consists in improving the accuracy of...

The Minimum Covariance Determinant (MCD) approach estimates the location and scatter matrix using the subset of given size with lowest sample covariance determinant. Its main drawback is that it cannot be applied when the dimension exceeds the subset size. We propose the Minimum Regularized...

In this supplementary appendix to the paper Lu et al.(2021) ``Estimation of factors using higher-order multi-cumulants in weak factor models", we first present an overview of several alternative factor estimation and selection approaches. Second, we interpret the alternating least squares...

We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate correlations over lower sampling frequencies, to...

Full paper is available at: "https://ssrn.com/abstract=3087336" https://ssrn.com/abstract=3087336.In this supplementary appendix to the paper Boudt, Cornilly and Verdonck (2019), we first provide a brief R tutorial for the proposed NC estimator. Then, we go into more detail about the shape of...

We estimate the latent factors in high-dimensional panel non-Gaussian data using Higher-order multi-cumulant Factor Analysis (HFA). HFA consists of an eigenvalue ratio test to select the number of non-Gaussian factors and uses alternating regressions to estimate both Gaussian and non-Gaussian...

Policymakers, firms, and investors closely monitor traditional survey-based consumer confidence indicators and treat it as an important piece of economic information. We propose a latent factor model for the vector of monthly survey-based consumer confidence and daily sentiment embedded in...