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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

Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies

Shin, Dong-wan; Park, Sangun - In: Economics letters 115 (2012) 3, pp. 334-337

Persistent link: https://www.econbiz.de/10009631616

Covariance estimation using random permutations

Padmakumari, Lakshmi; Maheswaran, S. - In: International journal of financial engineering 5 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011922956

Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices

Zhang, Bo - 2019

This paper establishes asymptotic properties for spiked empirical eigenvalues of sample co- variance matrices for high-dimensional data with both cross-sectional dependence and a dependent sample structure. A new finding from the established theoretical results is that spiked empirical...

Persistent link: https://www.econbiz.de/10012858418