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Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
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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
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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
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Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
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On portfolio optimization : forecasting asset covariances and variances based on multi-scale risk models
Berger, Theo; Fieberg, Christian - In: Journal of risk finance : the convergence of financial … 17 (2016) 3, pp. 295-309
Persistent link: https://www.econbiz.de/10011628354
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An enhanced factor model for portfolio selection in high dimensions
Shi, Fangquan; Shu, Lianjie; Gu, Xinhua - In: Journal of financial econometrics 22 (2024) 1, pp. 94-118
Persistent link: https://www.econbiz.de/10014526307
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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Forecasting large realized covariance matrices : the benefits of factor models and shrinkage
Alves, Rafael P.; Brito, Diego S. de; Medeiros, Marcelo C. - In: Journal of financial econometrics 22 (2024) 3, pp. 696-742
Persistent link: https://www.econbiz.de/10015045177
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Cross-validated covariance estimators for high-dimensional minimum-variance portfolios
Husmann, Sven; Shivarova, Antoniya; Steinert, Rick - In: Financial markets and portfolio management 35 (2021) 3, pp. 309-352
Persistent link: https://www.econbiz.de/10012616164
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The benefits of improved covariance estimation
Turtle, Harry J.; Wang, Kainan - In: Journal of empirical finance 37 (2016), pp. 233-246
Persistent link: https://www.econbiz.de/10011663041