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Latent variable analysis and partial correlation graphs for multivariate time series

Fried, Roland; Didelez, Vanessa - 2003

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables … underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs …

Persistent link: https://www.econbiz.de/10010476999

High dimensional stochastic regression with latent factors, endogeneity and nonlinearity

Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312

Persistent link: https://www.econbiz.de/10011504536

Nonsparse learning with latent variables

Zheng, Zemin; Lv, Jinchi; Lin, Wei - In: Operations research 69 (2021) 1, pp. 346-359

Persistent link: https://www.econbiz.de/10012523525

Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices

De Nard, Gianluca; Zhao, Zhao - In: Journal of empirical finance 72 (2023), pp. 23-35

Persistent link: https://www.econbiz.de/10014476795

Dynamic factor models for multivariate count data : an application to stock-market trading activity

Jung, Robert; Liesenfeld, Roman; Richard, Jean-François - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 73-85

Persistent link: https://www.econbiz.de/10009159117

Estimation of large volatility matrices with low-rank signal plus sparse noise structures

Dai, Runyu; Matsuda, Yasumasa - 2023

Persistent link: https://www.econbiz.de/10014310363

Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2022

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Persistent link: https://www.econbiz.de/10013440073