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Empirical Bayes methods for dynamic factor models

Koopman, Siem Jan; Mesters, Geert - 2014

latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the …

Persistent link: https://www.econbiz.de/10010357912

A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014

multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …

Persistent link: https://www.econbiz.de/10010361374

Short-term hedge fund performance

Slavutskaya, Anna - In: Journal of banking & finance 37 (2013) 11, pp. 4404-4431

Persistent link: https://www.econbiz.de/10010247030

A multiple testing approach to the regularisation of large sample correlation matrice

Bailey, Natalia; Peseran, Hashem; Smith, L. Vanessa - 2014

Persistent link: https://www.econbiz.de/10010366306

Shrinkage=factor model

Kakushadze, Zura - In: The journal of asset management 17 (2016) 2, pp. 69-72

Persistent link: https://www.econbiz.de/10011442954

A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015

This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

Persistent link: https://www.econbiz.de/10011405221

Advances in estimating covariance matrices

Menchero, Jose; Ji, Lei - In: Journal of investment management : JOIM 19 (2021) 3, pp. 60-80

Persistent link: https://www.econbiz.de/10013041084

A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesran, M. Hashem; Smith, L. Vanessa - In: Journal of econometrics 208 (2019) 2, pp. 507-534

Persistent link: https://www.econbiz.de/10012145084

Parsimony inducing priors for large scale state-space models

Lopes, Hedibert Freitas; McCulloch, Robert E.; Tsay, Ruey S. - In: Journal of econometrics 230 (2022) 1, pp. 39-61

Persistent link: https://www.econbiz.de/10013441913