Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Chaoxing Dai, Kun Lu, Dacheng Xiu
| Year of publication: |
2019
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|---|---|
| Authors: | Dai, Chaoxing ; Lu, Kun ; Xiu, Dacheng |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 1, p. 43-79
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| Subject: | High-dimensional data | High-frequency data | Factor model | Pre-averaging estimator | Portfolio allocation | Low-rank plus sparse covariance matrix | Barra covariance matrix estimator | Korrelation | Correlation | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.09.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012139780