Search Results - subject:"High-dimensional covariance matrix"

A sparse approximate factor model for high-dimensional covariance matrix estimation and portfolio selection

Daniele, Maurizio; Pohlmeier, Winfried; Zagidullina, Aygul - 2025

Persistent link: https://www.econbiz.de/10015339161

Optimal covariance matrix estimation for high-dimensional noise in high-frequency data

Chang, Jinyuan; Hu, Qiao; Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 239 (2024) 2, pp. 1-39

Persistent link: https://www.econbiz.de/10015074488

Large covariance estimation using a factor model with common and group-specific factors

Shi, Yafeng; Ai, Chunrong; Shi, Yanlong; Ying, Tingting; … - In: Journal of forecasting 42 (2023) 8, pp. 2217-2248

Persistent link: https://www.econbiz.de/10014432877

Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?

Bodnar, Taras; Parolya, Nestor; Thorsén, Erik - In: Finance research letters 54 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014472777

A factor-based estimation of integrated covariance matrix with noisy high-frequency data

Sun, Yucheng; Xu, Wen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 770-784

Persistent link: https://www.econbiz.de/10013534498

Sparse approximate factor estimation for high-dimensional covariance matrices

Daniele, Maurizio; Pohlmeier, Winfried; Zagidullina, Aygul - 2020

Persistent link: https://www.econbiz.de/10012317378

Toward optimal model averaging in regression models with time series errors

Cheng, Tzu-Chang F.; Ing, Ching-Kang; Yu, Shu-Hui - In: Journal of econometrics 189 (2015) 2, pp. 321-334

Persistent link: https://www.econbiz.de/10011504543

Local expectations of the population spectral distribution of a high-dimensional covariance matrix

Li, Weiming - In: Statistical Papers 55 (2014) 2, pp. 563-573

This paper discusses the relationship between the population spectral distribution and the limit of the empirical spectral distribution in high-dimensional situations. When the support of the limiting spectral distribution is split into several intervals, the population one gains a meaningful...

Persistent link: https://www.econbiz.de/10010794863