Search Results - subject:"Covariance matrix" - EconBiz

Bayesian inference for spectral projectors of covariance matrix

Silin, Igor; Spokoiny, Vladimir - 2018

Let X1; : : : ;Xn be i.i.d. sample in Rp with zero mean and the covariance matrix . The classic principal component …

Persistent link: https://www.econbiz.de/10012433176

Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory

Bodnar, Taras; Mazur, Stepan; Podgórski, Krzysztof; … - 2018

In this paper we derive the nite-sample distribution of the esti- mated weights of the tangency portfolio when both the population and the sample covariance matrices are singular. These results are used in the derivation of a statistical test on the weights of the tangency port- folio where the...

Persistent link: https://www.econbiz.de/10012654429

A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver - 2018 - version: October 24, 2018

Persistent link: https://www.econbiz.de/10012671372

Modeling multivariate time series with fractional integration in macroeconomics and finance

Weigand, Roland - 2018

Persistent link: https://www.econbiz.de/10012197752

Reducing dimensions in a large TVP-VAR

Chan, Joshua; Eisenstat, Eric; Strachan, Rodney W. - 2018

Persistent link: https://www.econbiz.de/10012203786

A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver - 2018 - Version: October 24, 2018

Persistent link: https://www.econbiz.de/10011941318

Testing high-dimensional covariance matrices under the elliptical distribution and beyond

Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423

Persistent link: https://www.econbiz.de/10012619243

Nonparametric estimation of large covariance matrices with conditional sparsity

Wang, Hanchao; Peng, Bin; Li, Degui; Leng, Chenlei - In: Journal of econometrics 223 (2021) 1, pp. 53-72

Persistent link: https://www.econbiz.de/10012619958

Optimal portfolio selection using a simple double-shrinkage selection rule

Joo, Young C.; Park, Sung Y. - In: Finance research letters 43 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014633536

A Monte Carlo synthetic sample based performance evaluation method for covariance matrix estimators

Yuan, Jin; Yuan, Xianghui - In: Applied economics letters 28 (2021) 2, pp. 124-128

Persistent link: https://www.econbiz.de/10012415096

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