Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632)
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scientific article; zbMATH DE number 7048308
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| English | Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data |
scientific article; zbMATH DE number 7048308 |
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Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (English)
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26 April 2019
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high-dimensional data
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high-frequency data
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factor model
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pre-averaging estimator
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portfolio allocation
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low-rank plus sparse covariance matrix
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Barra covariance matrix estimator
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