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Search: subject:"approximate factor model"
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Factor analysis
22
Faktorenanalyse
22
Approximate factor model
21
Theorie
16
Theory
16
CAPM
14
approximate factor model
13
Estimation
10
Estimation theory
10
Schätztheorie
10
Schätzung
10
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8
Panel study
8
Portfolio selection
8
Portfolio-Management
8
Correlation
6
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6
Capital income
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Kapitaleinkommen
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4
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4
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4
Time series analysis
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4
High dimensionality
3
Risikoprämie
3
Risk premium
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large panel
3
principal components
3
weak factors
3
Analysis of variance
2
Börsenkurs
2
Common factor
2
Emerging economies
2
Hauptkomponentenanalyse
2
Heterogeneity in price setting
2
Large panel
2
Linear algebra
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English
31
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Scaillet, Olivier
5
Fan, Jianqing
4
Liao, Yuan
4
Chaieb, Ines
3
Daniele, Maurizio
3
Langlois, Hugues
3
Chou, Ray Yeutien
2
Gagliardini, Patrick
2
Kaufmann, Daniel
2
Kurozumi, Eiji
2
Ossola, Elisa
2
Pohlmeier, Winfried
2
Seregina, Ekaterina
2
Tanaka, Shinya
2
Tsay, Ruey S.
2
Wu, Jianhong
2
Yen, Tso-Jung
2
Yen, Yu-min
2
Zagidullina, Aygul
2
Amengual, Dante
1
Ando, Tomohiro
1
Cesa-Bianchi, Ambrogio
1
Chen, Jiaqin
1
Cheung, Ying Lun
1
Choi, Jungjun
1
Ferrero, Andrea
1
Grenouilleau, Daniel
1
Kung, Ko-Lun
1
Kuo, Weiyu
1
Kwon, HyukJun
1
Lee, Tae-hwy
1
Lein, Sarah
1
Lein, Sarah M.
1
Leng, Chenlei
1
Li, Degui
1
Liu, Han
1
Liu, Jinshan
1
MacMinn, Richard D.
1
Mincheva, Martina
1
Pan, Jiazhu
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Directorate-General Economic and Financial Affairs, European Commission
1
Institute of Economic Research, Hitotsubashi University
1
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Journal of econometrics
5
Econometric reviews
2
Economics letters
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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2
Research paper series / Swiss Finance Institute
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1
International journal of forecasting
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Journal of banking & finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of financial economics
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Journal of money, credit and banking : JMCB
1
Quantitative finance
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Staff working papers / Bank of England
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
29
RePEc
6
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1
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10
of
35
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1
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
Saved in:
2
Selecting the number of factors in approximate factor models using group variable regularization
Daniele, Maurizio
- In:
Econometric reviews
43
(
2024
)
10
,
pp. 796-823
Persistent link: https://www.econbiz.de/10015196421
Saved in:
3
Inference for low-rank completion without sample splitting with application to treatment effect estimation
Choi, Jungjun
;
Kwon, HyukJun
;
Liao, Yuan
- In:
Journal of econometrics
240
(
2024
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10015075024
Saved in:
4
Optimal portfolio using Factor Graphical Lasso
Lee, Tae-hwy
;
Seregina, Ekaterina
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 670-695
Persistent link: https://www.econbiz.de/10015045168
Saved in:
5
On determination of the number of factors in an
approximate
factor
model
Liu, Jinshan
;
Pan, Jiazhu
;
Xia, Qiang
;
Xiao, Li
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 285-298
Persistent link: https://www.econbiz.de/10014372878
Saved in:
6
A basket half full : sparse portfolios
Seregina, Ekaterina
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1833-1852
Persistent link: https://www.econbiz.de/10014452457
Saved in:
7
Sparse approximate factor estimation for high-dimensional covariance matrices
Daniele, Maurizio
;
Pohlmeier, Winfried
;
Zagidullina, Aygul
-
2020
Persistent link: https://www.econbiz.de/10012317378
Saved in:
8
Long memory factor model : on estimation of factor memories
Cheung, Ying Lun
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 756-769
Persistent link: https://www.econbiz.de/10013534489
Saved in:
9
Multi-population mortality modeling : when the data is too much and not enough
Kung, Ko-Lun
;
MacMinn, Richard D.
;
Kuo, Weiyu
;
Tsai, …
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 41-55
Persistent link: https://www.econbiz.de/10013198325
Saved in:
10
Time-varying risk premia in large international equity markets
Chaieb, Ines
;
Langlois, Hugues
;
Scaillet, Olivier
-
2018
Persistent link: https://www.econbiz.de/10011876090
Saved in:
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