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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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Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
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Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian; Hartkopf, Jan Patrick; Liesenfeld, Roman - In: Journal of empirical finance 55 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012175249
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Detection of multiple structural breaks in large covariance matrices
Li, Yu-Ning; Li, Degui; Fryzlewicz, Piotr - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 846-861
Persistent link: https://www.econbiz.de/10014448448
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Eigen-analysis for high-dimensional time series clustering
Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong - 2023
Persistent link: https://www.econbiz.de/10014452611
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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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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
Hartkopf, Jan Patrick - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 393-436
Persistent link: https://www.econbiz.de/10014226292
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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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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