literature, improved covariance matrix estimation for portfolio risk measurement, stock investment and excess returns, with a …

A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and …

for trend stationary time series with jumps. A robust long-run covariance matrix estimation is proposed, which can be of …

Covariance matrix of the asset returns plays an important role in the portfolio selection. A number of papers is … focused on the case when the covariance matrix is positive definite. In this paper, we consider portfolio selection with a … singular covariance matrix. We describe an iterative method based on a second order damped dynamical systems that solves the …

Modelling the covariance matrix in linear mixed models provides an additional advantage in making inference about …. In this article, we developed a linear Cholesky decomposition of the random effects covariance matrix, providing a …