Nothing Special   »   [go: up one dir, main page]
create a website
High dimensional covariance matrix estimation using a factor model. (2008). Fan, Jianqing ; Lv, Jinchi, .
In: Journal of Econometrics.
RePEc:eee:econom:v:147:y:2008:i:1:p:186-197.

Full description at Econpapers || Download paper

Cited: 242

Citations received by this document

Cites: 29

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. A new approach for ultrahigh-dimensional covariance matrix estimation. (2024). Ma, Xiaoyan ; Liang, Wanfeng.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:204:y:2024:i:c:s0167715223001530.

    Full description at Econpapers || Download paper

  2. Test of conditional independence in factor models via Hilbert–Schmidt independence criterion. (2024). Cheng, Qing ; Xu, Kai.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x23000878.

    Full description at Econpapers || Download paper

  3. Power enhancement for testing multi-factor asset pricing models via Fisher’s method. (2024). Xue, Lingzhou ; Yao, Jiawei ; Yu, Xiufan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001525.

    Full description at Econpapers || Download paper

  4. Robustifying Markowitz. (2024). Zhivotovskiy, Nikita ; Hardle, Wolfgang Karl ; Klochkov, Yegor ; Petukhina, Alla.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000180.

    Full description at Econpapers || Download paper

  5. Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

    Full description at Econpapers || Download paper

  6. Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data. (2024). Zhang, Haoxuan ; Linton, Oliver.
    In: Papers.
    RePEc:arx:papers:2403.06246.

    Full description at Econpapers || Download paper

  7. .

    Full description at Econpapers || Download paper

  8. Optimal Portfolio Using Factor Graphical Lasso. (2023). Seregina, Ekaterina ; Lee, Tae-Hwy.
    In: Working Papers.
    RePEc:ucr:wpaper:202302.

    Full description at Econpapers || Download paper

  9. Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon.
    In: Digital Finance.
    RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z.

    Full description at Econpapers || Download paper

  10. Large portfolio optimisation approaches. (2023). Önder, A. Özlem ; Ulasan, Esra.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00322-3.

    Full description at Econpapers || Download paper

  11. When It Counts—Econometric Identification of the Basic Factor Model Based on GLT Structures. (2023). Lopes, Hedibert Freitas ; Hosszejni, Darjus ; Fruhwirth-Schnatter, Sylvia.
    In: Econometrics.
    RePEc:gam:jecnmx:v:11:y:2023:i:4:p:26-:d:1283993.

    Full description at Econpapers || Download paper

  12. Bayesian estimation of constrained mean-covariance of normal distributions. (2023). Pourahmadi, Mohsen ; Kundu, Anupam.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:194:y:2023:i:c:s0167715222002589.

    Full description at Econpapers || Download paper

  13. Robust projected principal component analysis for large-dimensional semiparametric factor modeling. (2023). Ling, Nengxiang ; Yang, Shuquan.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x23000015.

    Full description at Econpapers || Download paper

  14. Semiparametric estimation of the high-dimensional elliptical distribution. (2023). Okhrin, Ostap ; Liebscher, Eckhard.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x22001336.

    Full description at Econpapers || Download paper

  15. Distributed ARIMA models for ultra-long time series. (2023). Li, Feng ; Hyndman, Rob ; Kang, Yanfei ; Wang, Xiao Qian.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:3:p:1163-1184.

    Full description at Econpapers || Download paper

  16. Optimization of large portfolio allocation for new-energy stocks: Evidence from China. (2023). Jiang, Hui ; Huang, Lei ; Wu, Yunlin.
    In: Energy.
    RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028505.

    Full description at Econpapers || Download paper

  17. Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35.

    Full description at Econpapers || Download paper

  18. A robust Glasso approach to portfolio selection in high dimensions. (2023). Gu, Xinhua ; Shu, Lianjie ; Ding, Wenliang.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:70:y:2023:i:c:p:22-37.

    Full description at Econpapers || Download paper

  19. Dynamic factor copula models with estimated cluster assignments. (2023). Patton, Andrew J ; Oh, Dong Hwan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002135.

    Full description at Econpapers || Download paper

  20. Large volatility matrix analysis using global and national factor models. (2023). Kim, Donggyu ; Choi, Sung Hoon.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1917-1933.

    Full description at Econpapers || Download paper

  21. Community network auto-regression for high-dimensional time series. (2023). Zhu, Xuening ; Fan, Jianqing ; Chen, Elynn Y.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1239-1256.

    Full description at Econpapers || Download paper

  22. A compound decision approach to covariance matrix estimation. (2023). Zhao, Sihai Dave ; Xin, Huiqin.
    In: Biometrics.
    RePEc:bla:biomet:v:79:y:2023:i:2:p:1201-1212.

    Full description at Econpapers || Download paper

  23. Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael.
    In: Papers.
    RePEc:arx:papers:2303.16151.

    Full description at Econpapers || Download paper

  24. Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy. (2023). Ausloos, Marcel ; Vinte, Claudiu.
    In: Papers.
    RePEc:arx:papers:2303.09330.

    Full description at Econpapers || Download paper

  25. When it counts -- Econometric identification of the basic factor model based on GLT structures. (2023). Lopes, Hedibert Freitas ; Hosszejni, Darjus ; Fruhwirth-Schnatter, Sylvia.
    In: Papers.
    RePEc:arx:papers:2301.06354.

    Full description at Econpapers || Download paper

  26. .

    Full description at Econpapers || Download paper

  27. .

    Full description at Econpapers || Download paper

  28. .

    Full description at Econpapers || Download paper

  29. Robust covariance estimation for distributed principal component analysis. (2022). Zhang, Lixin ; Bao, Han ; Li, Kangqiang.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:85:y:2022:i:6:d:10.1007_s00184-021-00848-9.

    Full description at Econpapers || Download paper

  30. Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach. (2022). Kouaissah, Noureddine ; Lozza, Sergio Ortobelli ; Jebabli, Ikram.
    In: Computational Economics.
    RePEc:kap:compec:v:60:y:2022:i:3:d:10.1007_s10614-021-10167-w.

    Full description at Econpapers || Download paper

  31. A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited. (2022). Zhao, Zhao ; de Nard, Gianluca.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:80:y:2022:i:c:p:654-676.

    Full description at Econpapers || Download paper

  32. Recent advances in shrinkage-based high-dimensional inference. (2022). Parolya, Nestor ; Bodnar, Taras.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x21001044.

    Full description at Econpapers || Download paper

  33. Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization. (2022). Wong, Wing-Keung ; Bai, Zhi Dong ; Li, Hua ; McAleer, Michael.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:24:y:2022:i:c:p:133-150.

    Full description at Econpapers || Download paper

  34. Bayesian factor-adjusted sparse regression. (2022). Sun, Qiang ; Jiang, Bai ; Fan, Jianqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:230:y:2022:i:1:p:3-19.

    Full description at Econpapers || Download paper

  35. Copula shrinkage and portfolio allocation in ultra-high dimensions. (2022). Anatolyev, Stanislav ; Pyrlik, Vladimir.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002123.

    Full description at Econpapers || Download paper

  36. On the semi-varying coefficient dynamic panel data model with autocorrelated errors. (2022). Huang, Lei ; Jiang, Hui ; Zhang, Hongfan ; Wei, Honglei.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:173:y:2022:i:c:s016794732200038x.

    Full description at Econpapers || Download paper

  37. SIMPLE: Statistical inference on membership profiles in large networks. (2022). Fan, Jianqing ; Jinchi Lv, ; Han, Xiao.
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:84:y:2022:i:2:p:630-653.

    Full description at Econpapers || Download paper

  38. Robustifying Markowitz. (2022). Zhivotovskiy, Nikita ; Petukhina, Alla ; Klochkov, Yegor ; Hardle, Wolfgang Karl.
    In: Papers.
    RePEc:arx:papers:2212.13996.

    Full description at Econpapers || Download paper

  39. Large Volatility Matrix Analysis Using Global and National Factor Models. (2022). Kim, Donggyu ; Choi, Sung Hoon.
    In: Papers.
    RePEc:arx:papers:2208.12323.

    Full description at Econpapers || Download paper

  40. Fast estimation of Kendalls Tau and conditional Kendalls Tau matrices under structural assumptions. (2022). Derumigny, Alexis ; van der Spek, Rutger.
    In: Papers.
    RePEc:arx:papers:2204.03285.

    Full description at Econpapers || Download paper

  41. .

    Full description at Econpapers || Download paper

  42. .

    Full description at Econpapers || Download paper

  43. Robustifying Markowitz. (2021). Härdle, Wolfgang ; Zhivotovskiy, Nikita ; Petukhina, Alla ; Klochkov, Yegor ; Hardle, Wolfgang.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2021018.

    Full description at Econpapers || Download paper

  44. Forecasting systemic risk in portfolio selection: The role of technical trading rules. (2021). Hocine, Amin ; Kouaissah, Noureddine.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:4:p:708-729.

    Full description at Econpapers || Download paper

  45. Machine Learning and Factor-Based Portfolio Optimization. (2021). Cotter, John ; Conlon, Thomas ; Kynigakis, Iason.
    In: Working Papers.
    RePEc:ucd:wpaper:202111.

    Full description at Econpapers || Download paper

  46. Efficient mean-variance portfolio selection by double regularization. (2021). Kone, N'Golo.
    In: Working Paper.
    RePEc:qed:wpaper:1453.

    Full description at Econpapers || Download paper

  47. Factor investing: alpha concentration versus diversification. (2021). Zurek, Martin ; Shivarova, Antoniya ; Heinrich, Lars.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:22:y:2021:i:6:d:10.1057_s41260-021-00226-0.

    Full description at Econpapers || Download paper

  48. A Dynamic Mean-Variance Analysis for Log Returns. (2021). Jin, Hanqing ; Dai, Min ; Xu, Yuhong ; Kou, Steven.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1093-1108.

    Full description at Econpapers || Download paper

  49. Dynamic Factor Copula Models with Estimated Cluster Assignments. (2021). Patton, Andrew ; Oh, Dong Hwan.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2021-29.

    Full description at Econpapers || Download paper

  50. A semiparametric latent factor model for large scale temporal data with heteroscedasticity. (2021). Wang, Haonan ; Zhou, Wen ; Zhang, Lyuou.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000646.

    Full description at Econpapers || Download paper

  51. A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126.

    Full description at Econpapers || Download paper

  52. Nonparametric estimation of large covariance matrices with conditional sparsity. (2021). Leng, Chenlei ; Li, Degui ; Peng, Bin ; Wang, Hanchao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:223:y:2021:i:1:p:53-72.

    Full description at Econpapers || Download paper

  53. High dimensional minimum variance portfolio estimation under statistical factor models. (2021). Zheng, Xinghua ; Li, Yingying ; Ding, YI.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:1:p:502-515.

    Full description at Econpapers || Download paper

  54. Testing high-dimensional covariance matrices under the elliptical distribution and beyond. (2021). Chen, Jiaqi ; Zheng, Xinghua ; Yang, Xinxin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:221:y:2021:i:2:p:409-423.

    Full description at Econpapers || Download paper

  55. Long-term wealth growth portfolio allocation under parameter uncertainty: A non-conservative robust approach. (2021). Zhang, Tianlun ; Zhu, BO.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000620.

    Full description at Econpapers || Download paper

  56. Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions. (2021). Anatolyev, Stanislav ; Pyrlik, Vladimir .
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp699.

    Full description at Econpapers || Download paper

  57. Large?sample approximations and change testing for high?dimensional covariance matrices of multivariate linear time series and factor models. (2021). Steland, Ansgar ; Bours, Monika.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:48:y:2021:i:2:p:610-654.

    Full description at Econpapers || Download paper

  58. Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version). (2021). Kercheval, Alec ; Gurdogan, Hubeyb.
    In: Papers.
    RePEc:arx:papers:2109.00148.

    Full description at Econpapers || Download paper

  59. Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas.
    In: Papers.
    RePEc:arx:papers:2107.13866.

    Full description at Econpapers || Download paper

  60. Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. (2021). Thorsen, Erik ; Parolya, Nestor ; Bodnar, Taras.
    In: Papers.
    RePEc:arx:papers:2106.02131.

    Full description at Econpapers || Download paper

  61. Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing.
    In: Papers.
    RePEc:arx:papers:2102.11341.

    Full description at Econpapers || Download paper

  62. Learning from Forecast Errors: A New Approach to Forecast Combination. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy.
    In: Working Papers.
    RePEc:ucr:wpaper:202024.

    Full description at Econpapers || Download paper

  63. Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices. (2020). Zagidullina, Aygul ; Pohlmeier, Winfried ; Daniele, Maurizio.
    In: Working Paper series.
    RePEc:rim:rimwps:20-03.

    Full description at Econpapers || Download paper

  64. Diversification and portfolio theory: a review. (2020). Koumou, Nettey Boevi Gilles.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

    Full description at Econpapers || Download paper

  65. An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2020). Mazur, Stepan ; Gulliksson, Mrten.
    In: Computational Economics.
    RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09943-6.

    Full description at Econpapers || Download paper

  66. Robust Optimization-Based Commodity Portfolio Performance. (2020). Panta, Humnath ; Putnam, Kyle J ; Adhikari, Ramesh.
    In: IJFS.
    RePEc:gam:jijfss:v:8:y:2020:i:3:p:54-:d:409459.

    Full description at Econpapers || Download paper

  67. High-dimensional covariance matrix estimation. (2020). Lam, Clifford.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:101667.

    Full description at Econpapers || Download paper

  68. Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data. (2020). Fang, Qian ; Weiping, Zhang ; Yu, Chen.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:176:y:2020:i:c:s0047259x19302830.

    Full description at Econpapers || Download paper

  69. Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. (2020). Graler, Benedikt ; Scherer, Matthias ; Huttner, Amelie.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301631.

    Full description at Econpapers || Download paper

  70. Sparse portfolio selection via the sorted â„“1-Norm. (2020). Paterlini, Sandra ; Bogdan, Magorzata ; Lee, Sangkyun ; Kremer, Philipp J.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302614.

    Full description at Econpapers || Download paper

  71. Estimation of a multiplicative correlation structure in the large dimensional case. (2020). Hafner, Christian ; Linton, Oliver B ; Tang, Haihan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:217:y:2020:i:2:p:431-470.

    Full description at Econpapers || Download paper

  72. High-dimensional minimum variance portfolio estimation based on high-frequency data. (2020). Zheng, Xinghua ; Li, Yingying ; Hu, Jianchang ; Cai, Tony T.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:214:y:2020:i:2:p:482-494.

    Full description at Econpapers || Download paper

  73. Large-scale minimum variance portfolio allocation using double regularization. (2020). Liao, Yin ; Bian, Zhicun ; Zhang, Xueyong ; Shi, Jing ; Oneill, Michael.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:116:y:2020:i:c:s016518892030107x.

    Full description at Econpapers || Download paper

  74. Inference in Weak Factor Models. (2020). Yamagata, Takashi ; Uematsu, Yoshimasa.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:1080.

    Full description at Econpapers || Download paper

  75. Estimation of Weak Factor Models. (2020). Uematsu, Yoshimasa ; Yamagata, Takashi.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:1053r.

    Full description at Econpapers || Download paper

  76. Estimation of the Kronecker Covariance Model by Quadratic Form. (2020). Tang, H ; Linton, O.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:2050.

    Full description at Econpapers || Download paper

  77. Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy.
    In: Papers.
    RePEc:arx:papers:2011.02077.

    Full description at Econpapers || Download paper

  78. Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl.
    In: Papers.
    RePEc:arx:papers:2009.09770.

    Full description at Econpapers || Download paper

  79. A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio.
    In: Papers.
    RePEc:arx:papers:2004.12400.

    Full description at Econpapers || Download paper

  80. NOVELIST estimator of large correlation and covariance matrices and their inverses. (2019). Fryzlewicz, Piotr ; Huang, NA.
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
    RePEc:spr:testjl:v:28:y:2019:i:3:d:10.1007_s11749-018-0592-4.

    Full description at Econpapers || Download paper

  81. Compressed Covariance Estimation with Automated Dimension Learning. (2019). Bhattacharya, Anirban ; Pati, Debdeep ; Sabnis, Gautam.
    In: Sankhya A: The Indian Journal of Statistics.
    RePEc:spr:sankha:v:81:y:2019:i:2:d:10.1007_s13171-018-0134-x.

    Full description at Econpapers || Download paper

  82. On the penalized maximum likelihood estimation of high-dimensional approximate factor model. (2019). Yao, Chaoli ; Yang, HU ; Wang, Shaoxin.
    In: Computational Statistics.
    RePEc:spr:compst:v:34:y:2019:i:2:d:10.1007_s00180-019-00869-z.

    Full description at Econpapers || Download paper

  83. An Integrated Panel Data Approach to Modelling Economic Growth. (2019). Zhang, BO ; Yang, Yanrong ; Pan, Guangming ; Gao, Jiti.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2019-9.

    Full description at Econpapers || Download paper

  84. Dantzig Type Optimization Method with Applications to Portfolio Selection. (2019). Lee, Eun Ryung ; Park, Se Young ; Kim, Geonwoo.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:11:p:3216-:d:238590.

    Full description at Econpapers || Download paper

  85. Optimal shrinkage estimator for high-dimensional mean vector. (2019). Parolya, Nestor ; Okhrin, Ostap ; Bodnar, Taras.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:170:y:2019:i:c:p:63-79.

    Full description at Econpapers || Download paper

  86. Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models. (2019). Horvath, Lajos ; Rice, Gregory.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:169:y:2019:i:c:p:138-165.

    Full description at Econpapers || Download paper

  87. A linear programming model for selection of sparse high-dimensional multiperiod portfolios. (2019). Pun, Chi Seng ; Wong, Hoi Ying.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:273:y:2019:i:2:p:754-771.

    Full description at Econpapers || Download paper

  88. Alternative over-identifying restriction test in the GMM estimation of panel data models. (2019). Hayakawa, Kazuhiko.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:10:y:2019:i:c:p:71-95.

    Full description at Econpapers || Download paper

  89. Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

    Full description at Econpapers || Download paper

  90. A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables. (2019). Li, Degui ; Chen, Jia ; Linton, Oliver.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:155-176.

    Full description at Econpapers || Download paper

  91. High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

    Full description at Econpapers || Download paper

  92. Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

    Full description at Econpapers || Download paper

  93. A multiple testing approach to the regularisation of large sample correlation matrices. (2019). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:2:p:507-534.

    Full description at Econpapers || Download paper

  94. Robust covariance estimation for approximate factor models. (2019). Fan, Jianqing ; Zhong, Yiqiao ; Wang, Weichen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:5-22.

    Full description at Econpapers || Download paper

  95. Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

    Full description at Econpapers || Download paper

  96. Two-step sparse boosting for high-dimensional longitudinal data with varying coefficients. (2019). Yue, MU ; Cheng, Ming-yen ; Li, Jialiang.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:131:y:2019:i:c:p:222-234.

    Full description at Econpapers || Download paper

  97. Estimation of Weak Factor Models. (2019). Yamagata, Takashi ; Uematsu, Yoshimasa.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:1053.

    Full description at Econpapers || Download paper

  98. Estimation of Cross-Sectional Dependence in Large Panels. (2019). GAO, Jiti ; Zhang, BO ; Yang, Yanrong ; Pan, Guangming.
    In: Papers.
    RePEc:arx:papers:1904.06843.

    Full description at Econpapers || Download paper

  99. Factor models for portfolio selection in large dimensions: the good, the better and the ugly. (2018). Wolf, Michael ; Ledoit, Olivier ; de Nard, Gianluca.
    In: ECON - Working Papers.
    RePEc:zur:econwp:290.

    Full description at Econpapers || Download paper

  100. A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). Li, Degui ; LINTON, OLIVER ; Chen, Jia.
    In: Discussion Papers.
    RePEc:yor:yorken:18/14.

    Full description at Econpapers || Download paper

  101. Realized networks. (2018). Nualart, Eulalia ; Brownlees, Christian ; Sun, Yucheng.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:33:y:2018:i:7:p:986-1006.

    Full description at Econpapers || Download paper

  102. A Stein-type shrinkage estimator of the covariance matrix for portfolio selections. (2018). Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:81:y:2018:i:8:d:10.1007_s00184-018-0663-2.

    Full description at Econpapers || Download paper

  103. Robust equity portfolio performance. (2018). Fabozzi, Frank ; Kwon, Do-Gyun ; Kim, Woo Chang ; Ho, Jang.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2739-1.

    Full description at Econpapers || Download paper

  104. Risk minimization in multi-factor portfolios: What is the best strategy?. (2018). Paterlini, Sandra ; Talmaciu, Andreea ; Kremer, Philipp J.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2467-6.

    Full description at Econpapers || Download paper

  105. Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices. (2018). Zagidullina, Aygul ; Pohlmeier, Winfried ; Daniele, Maurizio.
    In: Working Paper Series of the Department of Economics, University of Konstanz.
    RePEc:knz:dpteco:1807.

    Full description at Econpapers || Download paper

  106. Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory. (2018). Tyrcha, Joanna ; Podgorski, Krzysztof ; Mazur, Stepan ; Bodnar, Taras.
    In: Working Papers.
    RePEc:hhs:oruesi:2018_001.

    Full description at Econpapers || Download paper

  107. High-Dimensional MVDR Beamforming: Optimized Solutions Based on Spiked Random Matrix Models. (2018). Couillet, Romain ; McKay, Matthew ; Yang, Liusha .
    In: Post-Print.
    RePEc:hal:journl:hal-01957672.

    Full description at Econpapers || Download paper

  108. NOVELIST estimator of large correlation and covariance matrices and their inverses. (2018). Fryzlewicz, Piotr ; Huang, NA.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:89055.

    Full description at Econpapers || Download paper

  109. Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage. (2018). Steland, Ansgar ; von Sachs, Rainer.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:128:y:2018:i:8:p:2816-2855.

    Full description at Econpapers || Download paper

  110. Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

    Full description at Econpapers || Download paper

  111. Factor models for asset returns based on transformed factors. (2018). Li, Jialiang ; Kong, Efang ; Zhang, Wenyang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:207:y:2018:i:2:p:432-448.

    Full description at Econpapers || Download paper

  112. Factor-adjusted multiple testing of correlations. (2018). Du, Lilun ; Zhong, Pingshou ; Luo, Ronghua ; Lan, Wei.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:128:y:2018:i:c:p:34-47.

    Full description at Econpapers || Download paper

  113. A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). LINTON, OLIVER ; Chen, Jia.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1876.

    Full description at Econpapers || Download paper

  114. Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator. (2018). Esfahani, Peyman Mohajerin ; Kuhn, Daniel ; Nguyen, Viet Anh.
    In: Papers.
    RePEc:arx:papers:1805.07194.

    Full description at Econpapers || Download paper

  115. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan.
    In: Papers.
    RePEc:arx:papers:1709.06296.

    Full description at Econpapers || Download paper

  116. Optimal shrinkage-based portfolio selection in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema.
    In: Papers.
    RePEc:arx:papers:1611.01958.

    Full description at Econpapers || Download paper

  117. Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap.
    In: Papers.
    RePEc:arx:papers:1610.09292.

    Full description at Econpapers || Download paper

  118. Large-scale portfolio allocation under transaction costs and model uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:582.

    Full description at Econpapers || Download paper

  119. Big Data Challenges of High‐Dimensional Continuous‐Time Mean‐Variance Portfolio Selection and a Remedy. (2017). Wong, Hoi Ying ; Pun, Chi Seng ; Chiu, Mei Choi.
    In: Risk Analysis.
    RePEc:wly:riskan:v:37:y:2017:i:8:p:1532-1549.

    Full description at Econpapers || Download paper

  120. Modeling Dependence in High Dimensions With Factor Copulas. (2017). Oh, Donghwan ; Patton, Andrew J.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:35:y:2017:i:1:p:139-154.

    Full description at Econpapers || Download paper

  121. A Dynamic Structure for High-Dimensional Covariance Matrices and Its Application in Portfolio Allocation. (2017). Guo, Shaojun ; Zhang, Wenyang ; Box, John Leigh.
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:112:y:2017:i:517:p:235-253.

    Full description at Econpapers || Download paper

  122. Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Lam, Clifford ; Hu, Charlie ; Feng, Phoenix.
    In: Biometrika.
    RePEc:oup:biomet:v:104:y:2017:i:2:p:481-488..

    Full description at Econpapers || Download paper

  123. Discriminant analysis in small and large dimensions. (2017). Parolya, Nestor ; Ngailo, Edward ; Mazur, Stepan ; Bodnar, Taras.
    In: Working Papers.
    RePEc:hhs:oruesi:2017_006.

    Full description at Econpapers || Download paper

  124. Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions. (2017). Parolya, Nestor ; Mazur, Stepan ; Bodnar, Taras.
    In: Working Papers.
    RePEc:hhs:oruesi:2017_005.

    Full description at Econpapers || Download paper

  125. Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Hu, Charlie ; Feng, Phoenix ; Lam, Clifford.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:69812.

    Full description at Econpapers || Download paper

  126. Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

    Full description at Econpapers || Download paper

  127. Sufficient forecasting using factor models. (2017). Fan, Jianqing ; Yao, Jiawei ; Xue, Lingzhou.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:2:p:292-306.

    Full description at Econpapers || Download paper

  128. On estimation of the noise variance in high dimensional probabilistic principal component analysis. (2017). Passemier, Damien ; Yao, Jianfeng ; Li, Zhaoyuan.
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:79:y:2017:i:1:p:51-67.

    Full description at Econpapers || Download paper

  129. Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm. (2017). Paterlini, Sandra ; Bogdan, Malgorzata ; Lee, Sangkyun ; Kremer, Philipp J.
    In: Papers.
    RePEc:arx:papers:1710.02435.

    Full description at Econpapers || Download paper

  130. Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George .
    In: Papers.
    RePEc:arx:papers:1611.05571.

    Full description at Econpapers || Download paper

  131. An overview of the estimation of large covariance and precision matrices. (2016). Liao, Yuan ; Fan, Jianqing ; Liu, Han.
    In: Econometrics Journal.
    RePEc:wly:emjrnl:v:19:y:2016:i:1:p:c1-c32.

    Full description at Econpapers || Download paper

  132. Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization. (2016). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1705.

    Full description at Econpapers || Download paper

  133. Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization. (2016). Wong, Wing-Keung ; McAleer, Michael ; Bai, Zhi Dong ; Li, Hua.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160025.

    Full description at Econpapers || Download paper

  134. Default Correlations and Large-Portfolio Credit Analysis. (2016). Duan, Jin-Chuan ; Miao, Weimin.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:34:y:2016:i:4:p:536-546.

    Full description at Econpapers || Download paper

  135. Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data. (2016). Fan, Jianqing ; Xiu, Dacheng ; Furger, Alex.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:34:y:2016:i:4:p:489-503.

    Full description at Econpapers || Download paper

  136. CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence. (2016). GAO, Jiti ; Pan, Guangming ; Yang, Yanrong .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2016-12.

    Full description at Econpapers || Download paper

  137. Estimation of a multiplicative covariance structure in the large dimensional case. (2016). LINTON, OLIVER ; Hafner, Christian ; Tang, Haihan .
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:52/16.

    Full description at Econpapers || Download paper

  138. Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization. (2016). Wong, Wing-Keung ; McAleer, Michael ; Bai, Z ; Li, H.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:80106.

    Full description at Econpapers || Download paper

  139. Linear shrinkage estimation of large covariance matrices using factor models. (2016). Ikeda, Yuki ; Kubokawa, Tatsuya.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:152:y:2016:i:c:p:61-81.

    Full description at Econpapers || Download paper

  140. Exact and asymptotic tests on a factor model in low and large dimensions with applications. (2016). Bodnar, Taras ; Reiss, Markus .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:150:y:2016:i:c:p:125-151.

    Full description at Econpapers || Download paper

  141. Gaussian and robust Kronecker product covariance estimation: Existence and uniqueness. (2016). Soloveychik, I ; Trushin, D.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:149:y:2016:i:c:p:92-113.

    Full description at Econpapers || Download paper

  142. Direct shrinkage estimation of large dimensional precision matrix. (2016). Parolya, Nestor ; Gupta, Arjun K ; Bodnar, Taras.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:146:y:2016:i:c:p:223-236.

    Full description at Econpapers || Download paper

  143. Robust inference of risks of large portfolios. (2016). Fan, Jianqing ; Liu, Han ; Han, Fang ; Vickers, Byron .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:298-308.

    Full description at Econpapers || Download paper

  144. Testing super-diagonal structure in high dimensional covariance matrices. (2016). Chen, Song.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:283-297.

    Full description at Econpapers || Download paper

  145. Efficient estimation of approximate factor models via penalized maximum likelihood. (2016). Liao, Yuan ; Bai, Jushan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:1:p:1-18.

    Full description at Econpapers || Download paper

  146. A generalized likelihood ratio test for normal mean when p is greater than n. (2016). Zhao, Junguang ; Xu, Xingzhong.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:99:y:2016:i:c:p:91-104.

    Full description at Econpapers || Download paper

  147. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case. (2016). LINTON, OLIVER ; Hafner, Christian ; Tang, Haihan .
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2016044.

    Full description at Econpapers || Download paper

  148. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case. (2016). LINTON, OLIVER ; Hafner, Christian.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1664.

    Full description at Econpapers || Download paper

  149. Implied basket correlation dynamics. (2016). Härdle, Wolfgang ; Karl, Hardle Wolfgang ; Elena, Silyakova .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:1-20:n:2.

    Full description at Econpapers || Download paper

  150. Asymptotics for High–Dimensional Covariance Matrices and Quadratic Forms with Applications to the Trace Functional and Shrinkage. (2016). von Sachs, Rainer ; Steland, Ansgar.
    In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
    RePEc:aiz:louvad:2016038.

    Full description at Econpapers || Download paper

  151. Linear Shrinkage Estimation of Large Covariance Matrices with Use of Factor Models. (2015). Kubokawa, Tatsuya ; Ikeda, Yuki .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2015cf958.

    Full description at Econpapers || Download paper

  152. Testing the Diagonality of a Large Covariance Matrix in a Regression Setting. (2015). Lan, Wei ; Yang, Yunhong ; Wang, Hansheng ; Tsai, Chih-Ling ; Luo, Ronghua.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:33:y:2015:i:1:p:76-86.

    Full description at Econpapers || Download paper

  153. Large Scale Covariance Estimates for Portfolio Selection. (2015). Lautizi, Francesco .
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:353.

    Full description at Econpapers || Download paper

  154. High dimensional Global Minimum Variance Portfolio. (2015). Wong, Wing-Keung ; Li, Hua ; Bai, Zhidong.
    In: MPRA Paper.
    RePEc:pra:mprapa:66284.

    Full description at Econpapers || Download paper

  155. Covariance averaging for improved estimation and portfolio allocation. (2015). Thomakos, Dimitrios ; Papailias, Fotis.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:29:y:2015:i:1:p:31-59.

    Full description at Econpapers || Download paper

  156. Modelling Dependence in High Dimensions with Factor Copulas. (2015). Patton, Andrew ; Oh, Donghwan .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-51.

    Full description at Econpapers || Download paper

  157. A high dimensional two-sample test under a low dimensional factor structure. (2015). Ma, Yingying ; Wang, Hansheng ; Lan, Wei.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:140:y:2015:i:c:p:162-170.

    Full description at Econpapers || Download paper

  158. Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions. (2015). Wolf, Michael ; Ledoit, Olivier.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:139:y:2015:i:c:p:360-384.

    Full description at Econpapers || Download paper

  159. High dimensional mean–variance optimization through factor analysis. (2015). Chen, Binbin ; Huang, Shih-Feng ; Pan, Guangming.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:133:y:2015:i:c:p:140-159.

    Full description at Econpapers || Download paper

  160. Instrumental variable estimation in functional linear models. (2015). FLORENS, Jean-Pierre ; VanBellegem, Sebastien ; Van Bellegem, Sebastien .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:2:p:465-476.

    Full description at Econpapers || Download paper

  161. Risks of large portfolios. (2015). Liao, Yuan ; Fan, Jianqing ; Shi, Xiaofeng .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:2:p:367-387.

    Full description at Econpapers || Download paper

  162. Testing predictor significance with ultra high dimensional multivariate responses. (2015). Wang, Hansheng ; Ma, Yingying ; Lan, Wei.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:83:y:2015:i:c:p:275-286.

    Full description at Econpapers || Download paper

  163. A Robust Statistics Approach to Minimum Variance Portfolio Optimization. (2015). Yang, Liusha ; Couillet, Romain ; McKay, Matthew R..
    In: Papers.
    RePEc:arx:papers:1503.08013.

    Full description at Econpapers || Download paper

  164. Robust Inference of Risks of Large Portfolios. (2015). Fan, Jianqing ; Vickers, Byron ; Liu, Han ; Han, Fang.
    In: Papers.
    RePEc:arx:papers:1501.02382.

    Full description at Econpapers || Download paper

  165. Estimation of the Global Minimum Variance Portfolio in High Dimensions. (2015). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras.
    In: Papers.
    RePEc:arx:papers:1406.0437.

    Full description at Econpapers || Download paper

  166. Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice. (2014). Medeiros, Marcelo ; Kock, Anders ; Callot, Laurent.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140147.

    Full description at Econpapers || Download paper

  167. Modeling Conditional Covariances With Economic Information Instruments. (2014). Turtle, H. J. ; Wang, Kainan.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:32:y:2014:i:2:p:217-236.

    Full description at Econpapers || Download paper

  168. Testing covariates in high-dimensional regression. (2014). Lan, Wei ; Wang, Hansheng ; Tsai, Chih-Ling.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:66:y:2014:i:2:p:279-301.

    Full description at Econpapers || Download paper

  169. Band Width Selection for High Dimensional Covariance Matrix Estimation. (2014). Chen, Song ; Qiu, Yumou .
    In: MPRA Paper.
    RePEc:pra:mprapa:59641.

    Full description at Econpapers || Download paper

  170. Theory and practice of GVAR modeling. (2014). Pesaran, M ; Chudik, Alexander.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:180.

    Full description at Econpapers || Download paper

  171. On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix. (2014). Parolya, Nestor ; Gupta, Arjun K. ; Bodnar, Taras.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:132:y:2014:i:c:p:215-228.

    Full description at Econpapers || Download paper

  172. Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models. (2014). Nakajima, Jouchi ; Zhou, Xiaocong ; West, Mike .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:4:p:963-980.

    Full description at Econpapers || Download paper

  173. An empirical Bayesian approach to stein-optimal covariance matrix estimation. (2014). Gillen, Benjamin J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:402-420.

    Full description at Econpapers || Download paper

  174. Design-free estimation of variance matrices. (2014). Abadir, Karim ; Ike, Filip ; Distaso, Walter .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:181:y:2014:i:2:p:165-180.

    Full description at Econpapers || Download paper

  175. Instrumental variable estimation in functional linear models. (2014). FLORENS, Jean-Pierre ; VanBellegem, Sebastien ; Van Bellegem, Sebastien .
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2014056.

    Full description at Econpapers || Download paper

  176. A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices. (2014). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L..
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4834.

    Full description at Econpapers || Download paper

  177. Theory and Practice of GVAR Modeling. (2014). Pesaran, M ; Chudik, Alexander.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4807.

    Full description at Econpapers || Download paper

  178. A multiple testing approach to the regularisation of large sample correlation matrices. (2014). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa .
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1413.

    Full description at Econpapers || Download paper

  179. Theory and Practice of GVAR Modeling. (2014). Pesaran, M ; Chudik, Alexander.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1408.

    Full description at Econpapers || Download paper

  180. On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix. (2014). Parolya, Nestor ; Gupta, Arjun K. ; Bodnar, Taras.
    In: Papers.
    RePEc:arx:papers:1308.2608.

    Full description at Econpapers || Download paper

  181. Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix. (2014). Parolya, Nestor ; Gupta, Arjun K. ; Bodnar, Taras.
    In: Papers.
    RePEc:arx:papers:1308.0931.

    Full description at Econpapers || Download paper

  182. Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice. (2014). Medeiros, Marcelo ; Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, .
    In: CREATES Research Papers.
    RePEc:aah:create:2014-42.

    Full description at Econpapers || Download paper

  183. Optimal Ridge-type Estimators of Covariance Matrix in High Dimension. (2013). Srivastava, Muni S. ; Kubokawa, Tatsuya.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2013cf906.

    Full description at Econpapers || Download paper

  184. Two kinds of variance/covariance estimates in linear mixed models. (2013). Li, Zaixing.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:76:y:2013:i:3:p:303-324.

    Full description at Econpapers || Download paper

  185. Covariance Averaging for Improved Estimation and Portfolio Allocation. (2013). Thomakos, Dimitrios ; Papailias, Fotis.
    In: Working Paper series.
    RePEc:rim:rimwps:66_13.

    Full description at Econpapers || Download paper

  186. Risks of large portfolios. (2013). Liao, Yuan ; Fan, Jianqing ; Shi, Xiaofeng .
    In: MPRA Paper.
    RePEc:pra:mprapa:44206.

    Full description at Econpapers || Download paper

  187. Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization. (2013). Lemm, Steven ; Muller, Klaus-Robert ; Hesse, Christian W ; Hatrick, Kerr ; Bartz, Daniel .
    In: PLOS ONE.
    RePEc:plo:pone00:0067503.

    Full description at Econpapers || Download paper

  188. Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?. (2013). Malec, Peter ; Hautsch, Nikolaus ; Kyj, Lada M..
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-014.

    Full description at Econpapers || Download paper

  189. Error covariance matrix estimation using ridge estimator. (2013). Luo, June ; Kulasekera, K. B..
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:83:y:2013:i:1:p:257-264.

    Full description at Econpapers || Download paper

  190. Financial Risk Measurement for Financial Risk Management. (2013). Andersen, Torben G ; Diebold, Francis X ; Christoffersen, Peter F ; Bollerslev, Tim.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1127-1220.

    Full description at Econpapers || Download paper

  191. On bootstrapping panel factor series. (2013). Trapani, Lorenzo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:172:y:2013:i:1:p:127-141.

    Full description at Econpapers || Download paper

  192. Large covariance estimation by thresholding principal orthogonal complements. (2013). Liao, Yuan ; Fan, Jianqing ; Mincheva, Martina .
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:75:y:2013:i:4:p:603-680.

    Full description at Econpapers || Download paper

  193. Risks of Large Portfolios. (2013). Liao, Yuan ; Fan, Jianqing ; Shi, Xiaofeng .
    In: Papers.
    RePEc:arx:papers:1302.0926.

    Full description at Econpapers || Download paper

  194. Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation. (2013). Luo, Xi.
    In: Papers.
    RePEc:arx:papers:1111.1133.

    Full description at Econpapers || Download paper

  195. Testing CAPM with a Large Number of Assets. (2012). Yamagata, Takashi ; Pesaran, M.
    In: Discussion Papers.
    RePEc:yor:yorken:12/05.

    Full description at Econpapers || Download paper

  196. Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection. (2012). Fan, Jianqing ; Li, Yingying ; Yu, Ke.
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:107:y:2012:i:497:p:412-428.

    Full description at Econpapers || Download paper

  197. Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation. (2012). Song Xi Chen, ; Qiu, Yumou .
    In: MPRA Paper.
    RePEc:pra:mprapa:46242.

    Full description at Econpapers || Download paper

  198. Two Sample Tests for High Dimensional Covariance Matrices. (2012). Chen, Song.
    In: MPRA Paper.
    RePEc:pra:mprapa:46026.

    Full description at Econpapers || Download paper

  199. Efficient Estimation of Approximate Factor Models. (2012). Liao, Yuan ; Bai, Jushan.
    In: MPRA Paper.
    RePEc:pra:mprapa:41558.

    Full description at Econpapers || Download paper

  200. Financial Risk Measurement for Financial Risk Management. (2012). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18084.

    Full description at Econpapers || Download paper

  201. Testing CAPM with a Large Number of Assets. (2012). Yamagata, Takashi ; Pesaran, M.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp6469.

    Full description at Econpapers || Download paper

  202. Implied Basket Correlation Dynamics. (2012). Silyakova, Elena ; Härdle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2012-066.

    Full description at Econpapers || Download paper

  203. Realized mixed-frequency factor models for vast dimensional covariance estimation. (2012). van Dijk, Dick ; Bannouh, K. ; van Dijk, D. J. C., ; Oomen, R. C. A., ; Martens, M. P. E., .
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:37470.

    Full description at Econpapers || Download paper

  204. On the border of extreme and mild spiked models in the HDLSS framework. (2012). Lee, Myung Hee .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:107:y:2012:i:c:p:162-168.

    Full description at Econpapers || Download paper

  205. A Bayesian information criterion for portfolio selection. (2012). Tsai, Chih-Ling ; Lan, Wei ; Wang, Hansheng.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:1:p:88-99.

    Full description at Econpapers || Download paper

  206. Robust Portfolio Allocation with Systematic Risk Contribution Restrictions. (2012). gourieroux, christian ; darolles, serge ; Jay, Emmanuelle .
    In: Working Papers.
    RePEc:crs:wpaper:2012-35.

    Full description at Econpapers || Download paper

  207. Testing CAPM with a Large Number of Assets (Updated 28th March 2012). (2012). Yamagata, Takashi ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1210.

    Full description at Econpapers || Download paper

  208. Directional Variance Adjustment: improving covariance estimates for high-dimensional portfolio optimization. (2012). Hesse, Christian W. ; Lemm, Steven ; Muller, Klaus-Robert ; Hatrick, Kerr ; Bartz, Daniel .
    In: Papers.
    RePEc:arx:papers:1109.3069.

    Full description at Econpapers || Download paper

  209. Large covariance estimation by thresholding principal orthogonal complements. (2011). Liao, Yuan ; Fan, Jianqing ; Mincheva, Martina .
    In: MPRA Paper.
    RePEc:pra:mprapa:38697.

    Full description at Econpapers || Download paper

  210. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:11-037.

    Full description at Econpapers || Download paper

  211. Mutual fund performance: false discoveries, bias, and power. (2011). .
    In: Annals of Finance.
    RePEc:kap:annfin:v:7:y:2011:i:2:p:137-169.

    Full description at Econpapers || Download paper

  212. Large volatility matrix inference via combining low-frequency and high-frequency approaches. (2011). Zou, Jian ; Wang, Yahzen ; Yao, Qiwei ; Tao, Minjing .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:39321.

    Full description at Econpapers || Download paper

  213. Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix. (2011). Fisher, Thomas J. ; Sun, Xiaoqian.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:55:y:2011:i:5:p:1909-1918.

    Full description at Econpapers || Download paper

  214. Estimating High Dimensional Covariance Matrices and its Applications. (2011). Bai, Jushan ; Shi, Shuzhong .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2011:v:12:i:2:p:199-215.

    Full description at Econpapers || Download paper

  215. Asymptotic Conditional Singular Value Decomposition for High-Dimensional Genomic Data. (2011). Leek, Jeffrey T..
    In: Biometrics.
    RePEc:bla:biomet:v:67:y:2011:i:2:p:344-352.

    Full description at Econpapers || Download paper

  216. Mean--variance portfolio optimization when means and covariances are unknown. (2011). Xing, Haipeng ; Chen, Zehao ; Lai, Tze Leung .
    In: Papers.
    RePEc:arx:papers:1108.0996.

    Full description at Econpapers || Download paper

  217. Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach. (2011). Song, Song .
    In: Papers.
    RePEc:arx:papers:1106.3921.

    Full description at Econpapers || Download paper

  218. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-37.

    Full description at Econpapers || Download paper

  219. Inference from heteroscedastic functional data. (2010). Wang, Haiyan ; Akritas, Michael.
    In: Journal of Nonparametric Statistics.
    RePEc:taf:gnstxx:v:22:y:2010:i:2:p:149-168.

    Full description at Econpapers || Download paper

  220. Distribution-free tests for no effect of treatment in heteroscedastic functional data under both weak and long range dependence. (2010). Blasi, Dale ; Higgins, James ; Wang, Haiyan.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:80:y:2010:i:5-6:p:390-402.

    Full description at Econpapers || Download paper

  221. Supply, demand and monetary policy shocks in a multi-country New Keynesian Model. (2010). Smith, Ronald ; Pesaran, M ; Dees, Stephane.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101239.

    Full description at Econpapers || Download paper

  222. Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model. (2010). Smith, Ronald ; Pesaran, M ; Dees, Stephane.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3081.

    Full description at Econpapers || Download paper

  223. Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection. (2010). Fan, Jianqing ; Li, Yingying ; Yu, Ke.
    In: Papers.
    RePEc:arx:papers:1004.4956.

    Full description at Econpapers || Download paper

  224. Robust Optimization of the Equity Momentum Strategy. (2009). Van Oord, Arco ; van Dijk, Herman ; Martens, Martin .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20090011.

    Full description at Econpapers || Download paper

  225. Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios. (2009). Pesaran, M ; Zaffaroni, Paolo.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2857.

    Full description at Econpapers || Download paper

  226. Optimal Asset Allocation with Factor Models for Large Portfolios. (2008). Pesaran, M ; Zaffaroni, Paolo.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2326.

    Full description at Econpapers || Download paper

  227. Optimal Asset Allocation with Factor Models for Large Portfolios. (2008). Pesaran, M ; Zaffaroni, P..
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0813.

    Full description at Econpapers || Download paper

  228. Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios. (2008). Fan, Jianqing ; Yu, Ke ; Zhang, Jingjin .
    In: Papers.
    RePEc:arx:papers:0812.2604.

    Full description at Econpapers || Download paper

  229. A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models. (2002). Asai, Manabu ; Asaiz, Manabu ; Poignard, Benjamin.
    In: Discussion Papers in Economics and Business.
    RePEc:osk:wpaper:2002.

    Full description at Econpapers || Download paper

  230. Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. (0000). van Dijk, Dick ; Lucas, Andre ; Barra, Istvan ; Opschoor, Anne.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20190013.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aguilar, O. ; West, M. Bayesian dynamic factor models and portfolio allocation. 2000 J. Bus. Econom. Statis.. 18 338-357

  2. Bai, J. Inferential theory for factor models of large dimensions. 2003 Econometrica. 71 135-171

  3. Bickel, P.J. ; Levina, E. Regularized estimation of large covariance matrices. 2008 Ann. Statist.. 36 199-227
    Paper not yet in RePEc: Add citation now
  4. Campbell, J.Y. ; Lo, A.W. ; MacKinlay, A.G. The Econometrics of Financial Markets. 1997 Princeton University Press: New Jersey
    Paper not yet in RePEc: Add citation now
  5. Chamberlain, G. Funds, factors and diversification in Arbitrage pricing theory. 1983 Econometrica. 51 1305-1323
    Paper not yet in RePEc: Add citation now

  6. Chamberlain, G. ; Rothschild, M. Arbitrage, factor structure, and mean–variance analysis on large asset markets. 1983 Econometrica. 51 1281-1304

  7. Cochrane, J.H. Asset Pricing. 2001 Princeton University Press: New Jersey
    Paper not yet in RePEc: Add citation now

  8. Diebold, F.X. ; Nerlove, M. The dynamics of exchange rate volatility: A multivariate latent-factor ARCH model. 1989 J. Appl. Econometrics. 4 1-22

  9. Eaton, M.L. ; Tyler, D.E. The asymptotic distribution of singular values with applications to canonical correlations and corresponding analysis. 1994 J. Multivariate Anal.. 50 238-264

  10. Engle, R.F. ; Watson, M.W. A one-factor multivariate time series model of metropolitan wage rates. 1981 J. Amer. Statist. Assoc.. 76 774-781
    Paper not yet in RePEc: Add citation now

  11. Fama, E. ; French, K. Common risk factors in the returns on stocks and bonds. 1993 J. Financ. Econom.. 33 3-56

  12. Fama, E. ; French, K. The cross-section of expected stock returns. 1992 J. Finance. 47 427-465

  13. Fan, J. A selective overview of nonparametric methods in financial econometrics with discussion. 2005 Statist. Science. 20 317-357
    Paper not yet in RePEc: Add citation now
  14. Fan, J., Fan, Y., Lv, J., 2006. High dimensional covariance matrix estimation using a factor model. Technical Report. Available on the arXiv preprint server: math.ST/0701124
    Paper not yet in RePEc: Add citation now

  15. Goldfarb, D. ; Iyengar, G. Robust portfolio selection problems. 2003 Math. Oper. Res.. 28 1-38

  16. Horn, R.A. ; Johnson, C.R. Matrix Analysis. 1990 Cambridge University Press: Cambridge
    Paper not yet in RePEc: Add citation now

  17. Huang, J.Z. ; Liu, N. ; Pourahmadi, M. ; Liu, L. Covariance matrix selection and estimation via penalised normal likelihood. 2006 Biometrika. 93 85-98

  18. James, W. ; Stein, C. Estimation with quadratic Loss. 1961 En : . Univ. California Press: Berkeley
    Paper not yet in RePEc: Add citation now
  19. Johnstone, I.M. On the distribution of the largest eigenvalue in principal components analysis. 2001 Ann. Statist.. 29 295-327
    Paper not yet in RePEc: Add citation now

  20. Ledoit, O. ; Wolf, M. A well conditioned estimator for large-dimensional covariance matrices. 2004 J. Multivariate Anal.. 88 365-411

  21. Ledoit, O. ; Wolf, M. Improved estimation of the covariance matrix of stock returns with an application to portfolio. 2003 J. Empir. Financ.. 10 603-621

  22. Lin, S.P. ; Perlman, M.D. A Monte Carlo comparison of four estimators of a covariance matrix. 1985 En : Krishnaiah, P.R. . North-Holland: Amsterdam
    Paper not yet in RePEc: Add citation now
  23. Markowitz, H.M. Portfolio Selection: Efficient Diversification of Investments. 1959 John Wiley & Sons: New Jersey
    Paper not yet in RePEc: Add citation now

  24. Markowitz, H.M. Portfolio selection. 1952 J. Finance. 7 77-91

  25. Ross, S.A. The Arbitrage theory of capital asset pricing. 1976 J. Econom. Theory. 13 341-360

  26. Ross, S.A. The Capital Asset Pricing Model CAPM, short-sale restrictions and related issues. 1977 J. Finance. 32 177-183

  27. Stein, C., 1975. Estimation of a covariance matrix. Rietz Lecture, 39th IMS Annual Meeting, Atlanta, Georgia
    Paper not yet in RePEc: Add citation now

  28. Stock, J.H., Watson, M.W., 2005. Implications of dynamic factor models for VAR analysis. Manuscript

  29. Wong, F. ; Carter, C.K. ; Kohn, R. Efficient estimation of covariance selection models. 2003 Biometrika. 90 809-830

Cocites

Documents in RePEc which have cited the same bibliography

  1. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Stock, J H ; Watson, M W.
    In: Handbook of Macroeconomics.
    RePEc:eee:macchp:v2-415.

    Full description at Econpapers || Download paper

  2. Likelihood-based Analysis for Dynamic Factor Models. (2014). Koopman, Siem Jan ; Jungbacker, Borus .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080007.

    Full description at Econpapers || Download paper

  3. Optimal strategies for selecting project portfolios using uncertain value estimates. (2014). Salo, Ahti ; Liesio, Juuso ; Vilkkumaa, Eeva .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:233:y:2014:i:3:p:772-783.

    Full description at Econpapers || Download paper

  4. A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors. (2014). Koop, Gary ; Gefang, Deborah ; Campolieti, Michele.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:41:y:2014:i:c:p:257-275.

    Full description at Econpapers || Download paper

  5. Dynamic factor multivariate GARCH model. (2014). Santos, Andre ; Moura, Guilherme ; Santos, Andre A. P., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:606-617.

    Full description at Econpapers || Download paper

  6. Bayesian Markov Switching Stochastic Correlation Models. (2013). Sartore, Domenico ; Casarin, Roberto ; Tronzano, Marco.
    In: Working Papers.
    RePEc:ven:wpaper:2013:11.

    Full description at Econpapers || Download paper

  7. Bayesian Analysis of Latent Threshold Dynamic Models. (2013). Nakajima, Jouchi ; West, Mike .
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:31:y:2013:i:2:p:151-164.

    Full description at Econpapers || Download paper

  8. Bayesian estimation of sparse dynamic factor models with order-independent identification. (2013). Schumacher, Christian ; Kaufmann, Sylvia.
    In: Working Papers.
    RePEc:szg:worpap:1304.

    Full description at Econpapers || Download paper

  9. A new look at variation in employment growth in Canada. (2013). Koop, Gary ; Gefang, Deborah ; Campolieti, Michele.
    In: Working Papers.
    RePEc:lan:wpaper:26145565.

    Full description at Econpapers || Download paper

  10. The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?. (2013). SEVESTRE, Patrick ; Horny, Guillaume ; Avouyi-Dovi, Sanvi ; Avouyi-Dovi, S. Patrick Sevestre., .
    In: Working papers.
    RePEc:bfr:banfra:462.

    Full description at Econpapers || Download paper

  11. Multivariate stochastic volatility modelling using Wishart autoregressive processes. (2013). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:1311.0530.

    Full description at Econpapers || Download paper

  12. Finding relevant variables in sparse Bayesian factor models: Economic applications and simulation results. (2012). Schumacher, Christian ; Kaufmann, Sylvia.
    In: Discussion Papers.
    RePEc:zbw:bubdps:292012.

    Full description at Econpapers || Download paper

  13. Bayesian factor analysis for spatially correlated data: application to cancer incidence data in Scotland. (2012). Mezzetti, Maura.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:21:y:2012:i:1:p:49-74.

    Full description at Econpapers || Download paper

  14. Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2012). Eratalay, Mustafa.
    In: EUSP Department of Economics Working Paper Series.
    RePEc:eus:wpaper:ec0412.

    Full description at Econpapers || Download paper

  15. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. (2012). McAleer, Michael ; Caporin, Massimiliano ; Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:31985.

    Full description at Econpapers || Download paper

  16. The dynamic adjustments of stock prices to inflation disturbances. (2012). Valcarcel, Victor (Vic).
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:64:y:2012:i:2:p:117-144.

    Full description at Econpapers || Download paper

  17. Optimal portfolios with minimum capital requirements. (2012). Santos, Andre ; Ruiz, Esther ; van Dijk, Dick ; Santos, André A. P., ; Nogales, Francisco J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1928-1942.

    Full description at Econpapers || Download paper

  18. Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market. (2012). Santos, Andre ; Moura, Guilherme ; André A. P. Santos, ; Caldeira, Joo .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-12-00293.

    Full description at Econpapers || Download paper

  19. Heteroskedastic Dynamic Factor Models: A Monte Carlo Study. (2012). Moura, Guilherme ; Suren, Gijsbert .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-12-00269.

    Full description at Econpapers || Download paper

  20. Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model. (2011). Pajor, Anna.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:11:y:2011:p:41-54.

    Full description at Econpapers || Download paper

  21. A Bayesian Generalized Factor Model with Comparative Analysis (Genellestirilmis Faktor Modellerinin Bayesyen Yaklasimi ve Karsilastirmali Analizi). (2010). Tekatli, Necati.
    In: Working Papers.
    RePEc:tcb:wpaper:1018.

    Full description at Econpapers || Download paper

  22. Mixed frequency models: Bayesian approaches to estimation and prediction. (2010). Rodriguez, Abel ; Puggioni, Gavino .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:2:p:293-311.

    Full description at Econpapers || Download paper

  23. Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search. (2009). Ni, Shawn ; Loddo, Antonello ; Sun, Dongchu.
    In: Working Papers.
    RePEc:umc:wpaper:0911.

    Full description at Econpapers || Download paper

  24. Aplicação de um Modelo Fatorial Dinâmico Para Previsão da Arrecadação Tributária no Brasil. (2009). Claudio Hamilton dos Santos, ; Martins, Thiago Guerrera ; Mendona, Mario Jorge.
    In: Discussion Papers.
    RePEc:ipe:ipetds:1453.

    Full description at Econpapers || Download paper

  25. Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2009-03.

    Full description at Econpapers || Download paper

  26. Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios. (2009). Pesaran, M ; Zaffaroni, Paolo.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2857.

    Full description at Econpapers || Download paper

  27. Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-11.

    Full description at Econpapers || Download paper

  28. Matrix-State Particle Filter for Wishart Stochastic Volatility Processes. (2008). Sartore, Domenico ; Casarin, Roberto.
    In: Working Papers.
    RePEc:ubs:wpaper:0816.

    Full description at Econpapers || Download paper

  29. Particle Filters for Markov-Switching Stochastic-Correlation Models. (2008). Casarin, Roberto ; amisano, gianni.
    In: Working Papers.
    RePEc:ubs:wpaper:0814.

    Full description at Econpapers || Download paper

  30. A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model. (2008). Smith, Penelope ; Lim, Guay ; Chua, Chew.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2008n16.

    Full description at Econpapers || Download paper

  31. High dimensional covariance matrix estimation using a factor model. (2008). Fan, Jianqing ; Lv, Jinchi, .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:186-197.

    Full description at Econpapers || Download paper

  32. Factor estimation using MCMC-based Kalman filter methods. (2008). Tsiaplias, Sarantis.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2008:i:2:p:344-353.

    Full description at Econpapers || Download paper

  33. Optimal Asset Allocation with Factor Models for Large Portfolios. (2008). Pesaran, M ; Zaffaroni, Paolo.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2326.

    Full description at Econpapers || Download paper

  34. Optimal Asset Allocation with Factor Models for Large Portfolios. (2008). Pesaran, M ; Zaffaroni, P..
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0813.

    Full description at Econpapers || Download paper

  35. Multivariate stochastic volatility using state space models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:0802.0223.

    Full description at Econpapers || Download paper

  36. Forecasting with time-varying vector autoregressive models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:0802.0220.

    Full description at Econpapers || Download paper

  37. Multivariate stochastic volatility with Bayesian dynamic linear models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:0802.0214.

    Full description at Econpapers || Download paper

  38. Matrix-State Particle Filter for Wishart Stochastic Volatility Processes. (2007). Sartore, Domenico ; Casarin, Roberto.
    In: Working Papers.
    RePEc:ven:wpaper:2007_30.

    Full description at Econpapers || Download paper

  39. Multivariate stochastic volatility. (2007). Omori, Yasuhiro ; Asai, Manabu ; Chib, Siddhartha .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2007cf488.

    Full description at Econpapers || Download paper

  40. A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors. (2007). Tsiaplias, Sarantis.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2007n18.

    Full description at Econpapers || Download paper

  41. Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in Handbook of Financial Time Series (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Miko. (2007). Omori, Yasuhiro ; Asai, Manabu ; Chib, Siddhartha .
    In: CARF F-Series.
    RePEc:cfi:fseres:cf094.

    Full description at Econpapers || Download paper

  42. Understanding Sources of the Change in International Business Cycles. (2007). Tekatli, Necati.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:731.08.

    Full description at Econpapers || Download paper

  43. Generalized Factor Models: A Bayesian Approach. (2007). Tekatli, Necati.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:730.08.

    Full description at Econpapers || Download paper

  44. Fast estimation of multivariate stochastic volatility. (2007). Triantafyllopoulos, Kostas ; Montana, Giovanni.
    In: Papers.
    RePEc:arx:papers:0708.4376.

    Full description at Econpapers || Download paper

  45. Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.. (2005). Sargent, Thomas ; Cogley, Timothy.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:8:y:2005:i:2:p:262-302.

    Full description at Econpapers || Download paper

  46. Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system. (2005). Sargent, Thomas ; Morozov, Sergei ; Cogley, Timothy.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:29:y:2005:i:11:p:1893-1925.

    Full description at Econpapers || Download paper

  47. Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models. (2004). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Economics Working Papers.
    RePEc:zbw:cauewp:2443.

    Full description at Econpapers || Download paper

  48. Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models. (2004). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Working Paper.
    RePEc:pit:wpaper:322.

    Full description at Econpapers || Download paper

  49. Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system. (2003). Sargent, Thomas ; Cogley, Timothy ; Morozov, Sergei ; ThomasJ. Sargent, .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200344.

    Full description at Econpapers || Download paper

  50. Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-16 13:18:50 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.