Filtering time-dependent covariance matrices using time-independent eigenvalues

DOI10.1088/1742-5468/ACB7EDMaRDI QIDQ5880290zbMATH OpenOpenAlexFDO

Authors C. Bongiorno, Grégoire Loeper, Damien Challet

Publication date 7 March 2023

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1742-5468/acb7ed

zbMATH Keywords

average oraclecovariance matrix filteringnon-linear shrinkagerandom matrix theory

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• Cleaning large correlation matrices: tools from random matrix theory
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• Hierarchically nested factor model from multivariate data
• scientific article; zbMATH DE number 6781492 (Why is no real title available?)
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Rotational Invariant Estimator for General Noisy Matrices

Cited in

(4)

• A Simple Method for Predicting Covariance Matrices of Financial Returns
• Portfolio models for optimizing drawdown duration
• Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
• Model-based vs. agnostic methods for the prediction of time-varying covariance matrices

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