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Estimation of large covariance matrices with mixed factor structures
Dai, Runyu; Uematsu, Yoshimasa; Matsuda, Yasumasa - 2022
Persistent link: https://www.econbiz.de/10013445725
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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
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Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu; Matsuda, Yasumasa - 2023
Persistent link: https://www.econbiz.de/10014310363