High dimensional covariance matrix estimation using a factor model (Q299275): Difference between revisions

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-.1016/j.jeconom.2008.09.017
@@ Property / DOI: 10.1016/j.jeconom.2008.09.017 / rank @@
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+math/0701124
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@@ Property / cites work @@
+Inferential Theory for Factor Models of Large Dimensions
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+Regularized estimation of large covariance matrices
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+Q4230831
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+Funds, Factors, and Diversification in Arbitrage Pricing Models
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+The asymptotic distribution of singular values with applications to canonical correlations and correspondence analysis
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+Common risk factors in the returns on stocks and bonds
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+A selective overview of nonparametric methods in financial econometrics
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+Robust Portfolio Selection Problems
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+Q3998992
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+Covariance matrix selection and estimation via penalised  normal likelihood
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+Q3185327
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+On the distribution of the largest eigenvalue in principal components analysis
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+A well-conditioned estimator for large-dimensional covariance matrices
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+Q3723503
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+Efficient estimation of covariance selection models
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@@ Property / DOI @@
+.1016/J.JECONOM.2008.09.017
@@ Property / DOI: 10.1016/J.JECONOM.2008.09.017 / rank @@
+Normal rank