This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the … of estimating the theoretical constant arising in the rate of convergence of existing thresholding estimators, and hence … it is easy to implement and does not require cross-validation. The MT estimator of the sample correlation matrix is shown …

This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock …

difficult estimation problem; the sample covariance matrix certainly will not do. In this paper, we review our work in this area … going back 15+ years. We have promoted various shrinkage estimators, which can be classified into linear and nonlinear …. Linear shrinkage is simpler to understand, to derive, and to implement. But nonlinear shrinkage can deliver another level of …

combination of DCC (Dynamic Conditional Correlation - a well-known Multivariate GARCH model) - with NL (Non-Linear shrinkage, a … no-short-sales and linear shrinkage into a false "either-or" dichotomy. What if, instead of 0% leverage we considered … eigenvalues of the sample covariance matrix to have its own shrinkage intensity, optimally determined under large …

, we promote a nonlinear shrinkage estimator that is more flexible than previous linear shrinkage estimators and has just …. Our nonlinear shrinkage estimator is asymptotically optimal for portfolio selection when the number of assets is of the … proposals and, in particular, it dominates linear shrinkage. …

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH … eigenvalues; a favored model is nonlinear shrinkage, derived from Random Matrix Theory (RMT). The present paper marries these two … strands of literature in order to deliver improved estimation of large dynamic covariance matrices. …

find that a judiciously-chosen shrinkage method always outperforms an arbitrarily-determined leverage constraint. By … extending the mathematical connection between leverage and shrinkage from static to dynamic, we provide a new theoretical …