De Nard, Gianluca; Ledoit, Olivier; Wolf, Michael - 2018
returns. Existing factor models struggle to model the covariance matrix of residuals in the presence of conditional … models, exogenous factor models, sparsity-based models, and structure-free dynamic models. This new estimator can be used to … superior all-around performance on historical data against a variety of state-of-the-art competitors, including static factor …