Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
From MaRDI portal
Publication:1739632
DOI10.1016/j.jeconom.2018.09.005zbMath1452.62758OpenAlexW2598656832WikidataQ129103999 ScholiaQ129103999MaRDI QIDQ1739632
Kun Lu, Dacheng Xiu, Chaoxing Dai
Publication date: 26 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.005
high-dimensional datahigh-frequency datafactor modelportfolio allocationBarra covariance matrix estimatorlow-rank plus sparse covariance matrixpre-averaging estimator
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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