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High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 222 (2021) 1,2, pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
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Non-separable models with high-dimensional data
Su, Liangjun; Ura, Takuya; Zhang, Yichong - In: Journal of econometrics 212 (2019) 2, pp. 646-677
Persistent link: https://www.econbiz.de/10012304129
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High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 214 (2020) 2, pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
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Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
Wang, Fa - In: Journal of econometrics 229 (2022) 1, pp. 180-200
Persistent link: https://www.econbiz.de/10013441851
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Estimation and inference for high dimensional factor model with regime switching
Urga, Giovanni; Wang, Fa - In: Journal of econometrics 241 (2024) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10015075174
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Time-varying forecast combination for high-dimensional data
Chen, Bin; Maung, Kenwin - In: Journal of econometrics 237 (2023) 2,3, pp. 1-21
Persistent link: https://www.econbiz.de/10014471825
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Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 194 (2016) 2, pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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Testing continuity of a density via g-order statistics in the regression discontinuity design
Bugni, Federico A.; Canay, Ivan A. - In: Journal of econometrics 221 (2021) 1, pp. 138-159
Persistent link: https://www.econbiz.de/10012618809