Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
type: Item
instance of: scholarly article
title: Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
zbMATH Open document ID: 1452.62758
author: Chaoxing Dai
author: Kun Lu
author: Dacheng Xiu
published in: Journal of Econometrics
publication date: 2019-04-26T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7048308
zbMATH Keywords: high-dimensional data
zbMATH Keywords: high-frequency data
zbMATH Keywords: factor model
zbMATH Keywords: pre-averaging estimator
zbMATH Keywords: portfolio allocation
zbMATH Keywords: low-rank plus sparse covariance matrix
zbMATH Keywords: Barra covariance matrix estimator
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.09.005
OpenAlex ID: W2598656832
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Wikidata QID: Q129103999
DOI: 10.1016/J.JECONOM.2018.09.005
description: scientific article; zbMATH DE number 7048308