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Estimating high dimensional covariance matrices and its applications

Bai, Jushan; Shi, Shuzhong - 2011

Persistent link: https://www.econbiz.de/10009754263

Panel data models and factor analysis

Bai, Jushan - 2013

Persistent link: https://www.econbiz.de/10010247719

Estimating High Dimensional Covariance Matrices and its Applications

Bai, Jushan; Shi, Shuzhong - In: Annals of Economics and Finance 12 (2011) 2, pp. 199-215

Estimating covariance matrices is an important part of portfolio selection, risk management, and asset pricing. This paper reviews the recent development in estimating high dimensional covariance matrices, where the number of variables can be greater than the number of observations. The...

Persistent link: https://www.econbiz.de/10009278162

Estimating High Dimensional Covariance Matrices and its Applications

Bai, Jushan; Shi, Shuzhong - China Economics and Management Academy, Central … - 2011

Estimating covariance matrices is an important part of portfolio selection, risk management, and asset pricing. This paper reviews the recent development in estimating high dimensional covariance matrices, where the number of variables can be greater than the number of observations. The...

Persistent link: https://www.econbiz.de/10009322490

Determining the number of factors in approximate factor models

Bai, Jushan; Ng, Serena - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 1, pp. 191-221

Persistent link: https://www.econbiz.de/10001648105

Inferential theory for factor models of large dimensions

Bai, Jushan - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 1, pp. 135-171

Persistent link: https://www.econbiz.de/10001731105

Quasi-maximum likelihood estimation of break point in high-dimensional factor models

Duan, Jiangtao; Bai, Jushan; Han, Xu - In: Journal of econometrics 233 (2023) 1, pp. 209-236

Persistent link: https://www.econbiz.de/10014340997

Identification theory for high dimensional static and dynamic factor models

Bai, Jushan; Wang, Peng - In: Journal of econometrics 178 (2014) 2, pp. 794-804

Persistent link: https://www.econbiz.de/10010257659

Principal components estimation and identification of static factors

Bai, Jushan; Ng, Serena - In: Journal of econometrics 176 (2013) 1, pp. 18-29

Persistent link: https://www.econbiz.de/10009764410

Principal components estimation and identication of the factors

Bai, Jushan; Ng, Serena - 2011

Persistent link: https://www.econbiz.de/10009748948

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