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Search: subject:"Sparse covariance matrix"
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Estimation of large covariance matrices with mixed factor structures
Dai, Runyu
;
Uematsu, Yoshimasa
;
Matsuda, Yasumasa
-
2022
Persistent link: https://www.econbiz.de/10013445725
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2
Estimation of large covariance matrices with mixed factor structures
Dai, Runyu
;
Uematsu, Yoshimasa
;
Matsuda, Yasumasa
- In:
The econometrics journal
27
(
2024
)
1
,
pp. 62-83
Persistent link: https://www.econbiz.de/10014528099
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3
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
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4
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
5
Testing super-diagonal structure in high dimensional covariance matrices
He, Jing
;
Chen, Song Xi
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 283-297
Persistent link: https://www.econbiz.de/10011705144
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