A Network View on Portfolio Risk
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Cites work
- A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
- A direct approach to sparse discriminant analysis in ultra-high dimensions
- A direct estimation approach to sparse linear discriminant analysis
- A Time-Varying Network for Cryptocurrencies
- Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
- Common risk factors in the returns on stocks and bonds
- Contingent Capital with Stock Price Triggers in Interbank Networks
- Covariance and precision matrix estimation for high-dimensional time series
- Generalized thresholding of large covariance matrices
- High-frequency cross-correlation in a set of stocks
- Introduction to spatial econometrics.
- Non-random topology of stock markets
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Optimal Feature Selection in High-Dimensional Discriminant Analysis
- Optimal Shrinkage-Based Portfolio Selection in High Dimensions
- Portfolio selection with robust estimation
- Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large
- Regularized Estimation of Linear Functionals of Precision Matrices for High-Dimensional Time Series
- Simultaneous analysis of Lasso and Dantzig selector
- Sparse inverse covariance estimation with the graphical lasso
- Spillover dynamics for systemic risk measurement using spatial financial time series models
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
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