multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte …This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our …

multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte …This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our …

easily generalizable to multivariate regression models, and OPDN, which uses an extremely efficient draw-by-draw random-sampling …

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 …

markets, and provides an alternative to the concept of exceedance correlation. We provide strong evidence for the existence of …