Large covariance estimation using a factor model with common and group-specific factors
Shi Yafeng, Ai Chunrong, Yanlong Shi, Ying Tingting, Xu Qunfang
| Year of publication: |
2023
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|---|---|
| Authors: | Shi, Yafeng ; Ai, Chunrong ; Shi, Yanlong ; Ying, Tingting ; Xu, Qunfang |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 8, p. 2217-2248
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| Subject: | high-dimensional covariance matrix | model identification | multilevel factor models | out-of-sample performances of portfolio optimization | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014432877