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Structured volatility matrix estimation for non-synchronized high-frequency financial data

Fan, Jianqing; Kim, Donggyu - In: Journal of econometrics 209 (2019) 1, pp. 61-78

Persistent link: https://www.econbiz.de/10012302521

Sparse approximate factor estimation for high-dimensional covariance matrices

Daniele, Maurizio; Pohlmeier, Winfried; Zagidullina, Aygul - 2020

Persistent link: https://www.econbiz.de/10012317378

Inferences in panel data with interactive effects using large covariance matrices

Bai, Jushan; Liao, Yuan - In: Journal of econometrics 200 (2017) 1, pp. 59-78

Persistent link: https://www.econbiz.de/10011897698

Estimation of large covariance matrices with mixed factor structures

Dai, Runyu; Uematsu, Yoshimasa; Matsuda, Yasumasa - 2022

Persistent link: https://www.econbiz.de/10013445725

Estimation of large covariance matrices with mixed factor structures

Dai, Runyu; Uematsu, Yoshimasa; Matsuda, Yasumasa - In: The econometrics journal 27 (2024) 1, pp. 62-83

Persistent link: https://www.econbiz.de/10014528099

Efficient estimation of approximate factor models via penalized maximum likelihood

Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011594307

Advances in estimating covariance matrices

Menchero, Jose; Ji, Lei - In: Journal of investment management : JOIM 19 (2021) 3, pp. 60-80

Persistent link: https://www.econbiz.de/10013041084

Large Non-Stationary Noisy Covariance Matrices : A Cross-Validation Approach

W. C. Tan, Vincent; Zohren, Stefan - 2021

We introduce a novel covariance estimator that exploits the heteroskedastic nature of financial time series by employing exponential weighted moving averages and shrinking the in-sample eigenvalues through cross-validation. Our estimator is model-agnostic in that we make no assumptions on the...

Persistent link: https://www.econbiz.de/10013244599

Regularized Semiparametric Estimation of High Dimensional Dynamic Conditional Covariance Matrices

Morana, Claudio - 2019

This paper proposes a three-step estimation strategy for dynamic conditional correlation models. In the first step … usual normalization. In the third step, the two-step conditional covariance and correlation matrices are regularized by … model. This yields the final, third step smoothed estimate of the conditional covariance and correlation matrices. Due to …

Persistent link: https://www.econbiz.de/10012899132

Testing super-diagonal structure in high dimensional covariance matrices

He, Jing; Chen, Song Xi - In: Journal of econometrics 194 (2016) 2, pp. 283-297

Persistent link: https://www.econbiz.de/10011705144