Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

principal component analysis finance mean-variance analysis arbitrage risk-free investment approximate factor structure continuous portfolio costs market with many assets

Mathematics Subject Classification ID

Cited In (only showing first 100 items - show all)

Likelihood stabilization for ill-conditioned vector GARCH models
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
The econometrics of mean‐variance efficiency tests: a survey
Interpolation and backdating with a large information set
High-dimensional two-sample mean vectors test and support recovery with factor adjustment
Optimal shrinkage estimator for high-dimensional mean vector
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
Adaptive test for mean vectors of high-dimensional time series data with factor structure
Identification of the linear factor model
Periodic dynamic factor models: estimation approaches and applications
Estimating latent asset-pricing factors
Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
A spectral EM algorithm for dynamic factor models
A rank test for the number of factors with high-frequency data
Robust factor number specification for large-dimensional elliptical factor model
Constructing Common Factors from Continuous and Categorical Data
Risk bounds for factor models
Estimation of the number of spikes, possibly equal, in the high-dimensional case
Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
Factor analysis and arbitrage pricing in large asset economies
Fitting dynamic factor models to non-stationary time series
Exact and asymptotic tests on a factor model in low and large dimensions with applications
Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
Transformed contribution ratio test for the number of factors in static approximate factor models
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Testing for symmetric correlation matrices with applications to factor models
Large-dimensional factor modeling based on high-frequency observations
DYNAMIC FACTOR MODELS
On the market price of risk
ARBITRAGE PRICING THEORY IN ERGODIC MARKETS
Power-law partial correlation network models
Quasi maximum likelihood analysis of high dimensional constrained factor models
Robust determination for the number of common factors in the approximate factor models
In search for yield? Survey-based evidence on bank risk taking
Interpreting the factor risk premia in the arbitrage pricing theory
Bayesian Inference for the One-Factor Copula Model
Estimation of high-dimensional linear factor models with grouped variables
Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?
GARCH-type factor model
Diversified minimum-variance portfolios
Parametric estimation of long memory in factor models
Identification theory for high dimensional static and dynamic factor models
Endogenous incompleteness of financial markets: the role of ambiguity and ambiguity aversion
THE ENTROPIC MARKET HYPOTHESIS
Large Financial Markets, Discounting, and No Asymptotic Arbitrage
Estimation of dynamic mixed double factors model in high-dimensional panel data
On tests of the arbitrage pricing theory
Exact arbitrage, well-diversified portfolios and asset pricing in large markets.
Editorial: Dynamic factor models
Deviance matrix factorization
State space methods in asset pricing
Principal Component Analysis of High-Frequency Data
On the arbitrage pricing theory
LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION
A unified beta pricing theory
A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
Factor models for matrix-valued high-dimensional time series
Certifiably optimal sparse principal component analysis
Aggregation of linear dynamic microeconomic models
On factor models with random missing: EM estimation, inference, and cross validation
Rank determination in tensor factor model
Explaining the single factor bias of arbitrage pricing models in finite samples
Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
A characterization theorem for unique risk neutral probability measures
Asymptotic arbitrage and large deviations
Rank regularized estimation of approximate factor models
Simplified mean-variance portfolio optimisation
Efficient funds for meager asset spaces
Tests of equal accuracy for nested models with estimated factors
High dimensional minimum variance portfolio estimation under statistical factor models
The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
The common and specific components of dynamic volatility
Bootstrapping factor models with cross sectional dependence
DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS
The incompleteness problem of the APT model
An econometric analysis of nonsynchronous trading
Sequential monitoring of portfolio betas
High-dimensional covariance matrix estimation in approximate factor models
Sparse PCA: optimal rates and adaptive estimation
A parametric estimation method for dynamic factor models of large dimensions
Diversification and equilibrium in securities markets
A multi-step procedure to determine the number of factors in large approximate factor models
Factor models in high-dimensional time series: A time-domain approach
Changes in the effects of monetary policy on disaggregate price dynamics
On the fundamental theorem of asset pricing with an infinite state space
On the systematic and idiosyncratic volatility with large panel high-frequency data
On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA
Model selection for generalized linear models with factor-augmented predictors
Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
On the identifiability of Bayesian factor analytic models
Large covariance estimation through elliptical factor models
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
High-dimensional multivariate realized volatility estimation
OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
High dimensional covariance matrix estimation using a factor model
EFFICIENT ESTIMATION OF FACTOR MODELS
Factor Models for High-Dimensional Tensor Time Series
Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data

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