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Characterizing correlation matrices that admit a clustered factor representation

Tong, Chen; Hansen, Peter Reinhard - In: Economics letters 233 (2023), pp. 1-4

Persistent link: https://www.econbiz.de/10014506906

Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion

Zhou, Ruichao; Wu, Jianhong - In: Economics letters 232 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014464419

Multivariate Wold decompositions : a Hilbert A-module approach

Cerreia-Vioglio, Simone; Ortu, Fulvio; Severino, Federico; … - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 45-96

Persistent link: https://www.econbiz.de/10014321366

Analysis and Linear Algebra : An Introduction for Economists

Holey, Thomas; Wiedemann, Armin - 2023

This elementary introduction was developed from lectures by the authors on business mathematics and the lecture "Analysis and Linear Algebra" for Bachelor's degree programmes. It is designed for courses in business administration and business informatics at universities, universities of applied...

Persistent link: https://www.econbiz.de/10013504739

Large volatility matrix analysis using global and national factor models

Choi, Sung Hoon; Kim, Donggyu - In: Journal of econometrics 235 (2023) 2, pp. 1917-1933

Persistent link: https://www.econbiz.de/10014471436

One-way or two-way factor model for matrix sequences?

He, Yong; Kong, Xinbing; Trapani, Lorenzo; Yu, Long - In: Journal of econometrics 235 (2023) 2, pp. 1981-2004

Persistent link: https://www.econbiz.de/10014471440

A dynamic conditional score model for the log correlation matrix

Hafner, Christian M.; Wang, Linqi - In: Journal of econometrics 237 (2023) 2,2, pp. 1-18

Persistent link: https://www.econbiz.de/10014471519

Semi-strong efficient market of Bitcoin and Twitter : an analysis of semantic vector spaces of extracted keywords and light gradient boosting machine models

Wang, Fang; Gacesa, Marko - In: International review of financial analysis 88 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014471875

Interpretable matrix completion : a discrete optimization approach

Bertsimas, Dimitris; Li, Michael Lingzhi - In: INFORMS journal on computing : JOC ; charting new … 35 (2023) 5, pp. 952-965

Persistent link: https://www.econbiz.de/10014422676

Non-commutative probability theory and applications in financet

Breitig, Marco - 2020

Persistent link: https://www.econbiz.de/10012418797

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