Narrow search
Showing 1 - 10 of 61,721
Cover Image
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing; Kim, Donggyu - In: Journal of econometrics 209 (2019) 1, pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Cover Image
Sparse approximate factor estimation for high-dimensional covariance matrices
Daniele, Maurizio; Pohlmeier, Winfried; Zagidullina, Aygul - 2020
Persistent link: https://www.econbiz.de/10012317378
Cover Image
Inferences in panel data with interactive effects using large covariance matrices
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 200 (2017) 1, pp. 59-78
Persistent link: https://www.econbiz.de/10011897698
Cover Image
Estimation of large covariance matrices with mixed factor structures
Dai, Runyu; Uematsu, Yoshimasa; Matsuda, Yasumasa - 2022
Persistent link: https://www.econbiz.de/10013445725
Cover Image
Estimation of large covariance matrices with mixed factor structures
Dai, Runyu; Uematsu, Yoshimasa; Matsuda, Yasumasa - In: The econometrics journal 27 (2024) 1, pp. 62-83
Persistent link: https://www.econbiz.de/10014528099
Cover Image
Efficient estimation of approximate factor models via penalized maximum likelihood
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011594307
Cover Image
On spectral distribution of high dimensional covariation matrices
Heinrich, Claudio; Podolskij, Mark - 2014
Persistent link: https://www.econbiz.de/10010442408
Cover Image
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon; Kim, Donggyu - In: Journal of econometrics 235 (2023) 2, pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Cover Image
Inference on the maximal rank of time-varying covariance matrices using high-frequency data
Reiß, Markus; Winkelmann, Lars - 2021
We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...
Persistent link: https://www.econbiz.de/10012655380
Cover Image
Regularized Semiparametric Estimation of High Dimensional Dynamic Conditional Covariance Matrices
Morana, Claudio - 2019
This paper proposes a three-step estimation strategy for dynamic conditional correlation models. In the first step … usual normalization. In the third step, the two-step conditional covariance and correlation matrices are regularized by … model. This yields the final, third step smoothed estimate of the conditional covariance and correlation matrices. Due to …
Persistent link: https://www.econbiz.de/10012899132