Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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Publication:3674364
principal component analysisfinancemean-variance analysisarbitragerisk-free investmentapproximate factor structurecontinuous portfolio costsmarket with many assets
Cited in
(only showing first 100 items - show all)- On determination of the number of factors in an approximate factor model
- A unified beta pricing theory
- Likelihood stabilization for ill-conditioned vector GARCH models
- A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
- Weak and strong cross-section dependence and estimation of large panels
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Efficient estimation of factor models
- Dynamic linear panel regression models with interactive fixed effects
- Modeling Dependence in High Dimensions With Factor Copulas
- Factor models for matrix-valued high-dimensional time series
- Interpolation and backdating with a large information set
- Some properties of portfolios constructed from principal components of asset returns
- Preprocessing noisy functional data: a multivariate perspective
- Arbitrage pricing theory in ergodic markets
- The econometrics of mean‐variance efficiency tests: a survey
- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- Certifiably optimal sparse principal component analysis
- Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- Aggregation of linear dynamic microeconomic models
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Optimal shrinkage estimator for high-dimensional mean vector
- Autoencoder asset pricing models
- Factor Modeling for Clustering High-Dimensional Time Series
- On factor models with random missing: EM estimation, inference, and cross validation
- Rank determination in tensor factor model
- 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
- Explaining the single factor bias of arbitrage pricing models in finite samples
- A characterization theorem for unique risk neutral probability measures
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Asymptotic arbitrage and large deviations
- A One-Sided Refined Symmetrized Data Aggregation Approach to Robust Mutual Fund Selection
- Identification of Time-Varying Factor Models
- Inferential theory for generalized dynamic factor models
- Time-varying minimum variance portfolio
- An Algebraic Estimator for Large Spectral Density Matrices
- Estimating a covariance matrix for market risk management and the case of credit default swaps
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Rank regularized estimation of approximate factor models
- Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions
- Simplified mean-variance portfolio optimisation
- Adaptive test for mean vectors of high-dimensional time series data with factor structure
- High-dimensional covariance matrix estimation
- Competing transformation models
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
- Determining the number of factors with potentially strong within-block correlations in error terms
- Periodic dynamic factor models: estimation approaches and applications
- Efficient funds for meager asset spaces
- Tests of equal accuracy for nested models with estimated factors
- Multiple Anchor Point Shrinkage for the Sample Covariance Matrix
- Identification of the linear factor model
- Estimating latent asset-pricing factors
- scientific article; zbMATH DE number 7370530 (Why is no real title available?)
- A semiparametric latent factor model for large scale temporal data with heteroscedasticity
- High dimensional minimum variance portfolio estimation under statistical factor models
- The common and specific components of dynamic volatility
- Estimation of Sparsity-Induced Weak Factor Models
- Inference in Sparsity-Induced Weak Factor Models
- 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 randomized sequential procedure to determine the number of factors
- The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
- Bootstrapping factor models with cross sectional dependence
- The incompleteness problem of the APT model
- An econometric analysis of nonsynchronous trading
- Sequential monitoring of portfolio betas
- Asymptotics for panel models with common shocks
- A rank test for the number of factors with high-frequency data
- Robust factor number specification for large-dimensional elliptical factor model
- High-dimensional covariance matrix estimation in approximate factor models
- A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model
- Risk-neutral valuation with infinitely many trading dates
- Inference in latent factor regression with clusterable features
- Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
- The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data
- CDPA: common and distinctive pattern analysis between high-dimensional datasets
- High-dimensional latent panel quantile regression with an application to asset pricing
- Risk bounds for factor models
- Constructing Common Factors from Continuous and Categorical Data
- Size, openness, and macroeconomic interdependence
- Sparse PCA: optimal rates and adaptive estimation
- Estimation of the number of spikes, possibly equal, in the high-dimensional case
- Some comments on the APT
- NFA FOR FACTOR NUMBER DETERMINATION IN APT
- Diversification and equilibrium in securities markets
- A parametric estimation method for dynamic factor models of large dimensions
- Bayesian singular value regularization via a cumulative shrinkage process
- A multi-step procedure to determine the number of factors in large approximate factor models
- Business cycle and corporate failure in France: Is there a link?
- 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
- Changes in the effects of monetary policy on disaggregate price dynamics
- Factor models in high-dimensional time series: A time-domain approach
- An \(\ell_{\infty}\) eigenvector perturbation bound and its application
- A Nodewise Regression Approach to Estimating Large Portfolios
- A conversation with Marc Hallin
- Robust high-dimensional factor models with applications to statistical machine learning
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