Estimation of large covariance matrices with mixed factor structures
Runyu Dai, Yoshimasa Uematsu and Yasumasa Matsuda
| Year of publication: |
2024
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|---|---|
| Authors: | Dai, Runyu ; Uematsu, Yoshimasa ; Matsuda, Yasumasa |
| Subject: | Sparsity-induced weak factor model | SOFAR estimator | factor error structure | sparse covariance matrix | thresholding | Schätztheorie | Estimation theory | Korrelation | Correlation | Faktorenanalyse | Factor analysis | CAPM | Lineare Algebra | Linear algebra | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/ectj/utad018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014528099