Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices

Gianluca De Nard, Zhao Zhao

Year of publication:	2023
Authors:	De Nard, Gianluca ; Zhao, Zhao
Published in:	Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 72.2023, p. 23-35
Subject:	Double-shrinkage \| Factor models \| Markowitz portfolio selection \| Multivariate GARCH \| Nonlinear shrinkage \| Regularization \| Portfolio-Management \| Portfolio selection \| Schätztheorie \| Estimation theory \| Korrelation \| Correlation \| ARCH-Modell \| ARCH model \| Faktorenanalyse \| Factor analysis \| Multivariate Analyse \| Multivariate analysis

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