Copula shrinkage and portfolio allocation in ultra-high dimensions

DOI10.1016/j.jedc.2022.104508OpenAlexW4292550229WikidataQ114161673 ScholiaQ114161673MaRDI QIDQ2098001

Vladimir Pyrlik, Stanislav Anatolyev

Publication date: 17 November 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104508

zbMATH Keywords

high dimensionalityshrinkageGaussian copulaportfolio allocation\(t\) copulalarge covariance matrices

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• R
• nacopula
• copula
• foreach
• corrplot
• pcaPP
• microbenchmark
• doParallel
• Julia
• copula
• GitHub
• matrixcalc
• QuEST
• nlshrink

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• High dimensional covariance matrix estimation using a factor model
• A review of copula models for economic time series
• \(t\)-Copula generation for control variates
• Eigenvectors of some large sample covariance matrix ensembles
• Estimating value at risk of portfolio by conditional copula-GARCH method
• Comparison of three semiparametric methods for estimating dependence parameters in copula models
• High-dimensional copula-based distributions with mixed frequency data
• Efficient parameter estimation via Gaussian copulas for quantile regression with longitudinal data
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Numerical implementation of the QuEST function
• Variable selection for high dimensional Gaussian copula regression model: an adaptive hypothesis testing procedure
• Quadratic shrinkage for large covariance matrices
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
• Robust feature screening for elliptical copula regression model
• Selection of sparse vine copulas in high dimensions with the Lasso
• Estimation and inference on the joint conditional distribution for bivariate longitudinal data using Gaussian copula
• Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
• 60 years of portfolio optimization: practical challenges and current trends
• Efficient estimation of covariance selection models
• Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
• Analysis of Mixed Data
• Julia: A Fresh Approach to Numerical Computing
• Shrinkage Estimators for Covariance Matrices
• The t Copula and Related Copulas
• Portfolio selection with higher moments
• Copula–Based Models for Financial Time Series
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Covariance matrix selection and estimation via penalised normal likelihood
• Elements of Copula Modeling with R

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