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)

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
Projected estimation for large-dimensional matrix factor models
Factor modeling for high-dimensional time series: inference for the number of factors
A panel data approach to economic forecasting: the bias-corrected average forecast
Forecasting with factor-augmented regression: a frequentist model averaging approach
The three-pass regression filter: a new approach to forecasting using many predictors
Unexplained factors and their effects on second pass \(R\)-squared's
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Asymptotics of the principal components estimator of large factor models with weakly influential factors
Efficient estimation of nonstationary factor models
Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
Factor representing portfolios in large asset markets
Equilibrium asset pricing and the cross section of expected returns
Arbitrage pricing theory and risk-neutral measures
Statistical analysis of factor models of high dimension
Least squares estimation of large dimensional threshold factor models
The valuation problem in arbitrage price theory
Approximate factor models with weaker loadings
Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
Asymptotics for Panel Models with Common Shocks
Simultaneous multiple change-point and factor analysis for high-dimensional time series
Dynamic factors in the presence of blocks
On the penalized maximum likelihood estimation of high-dimensional approximate factor model
Jumps and betas: a new framework for disentangling and estimating systematic risks
Pricing errors and estimates of risk premia in factor models
Factor and Idiosyncratic Empirical Processes
Cleaning large correlation matrices: tools from random matrix theory
Weak and strong cross‐section dependence and estimation of large panels
ARCH modeling in finance. A review of the theory and empirical evidence
Asymptotic arbitrage and the APT with or without measure-theoretic structures.
On determination of the number of factors in an approximate factor model
Risk-neutral pricing for arbitrage pricing theory
Assessing misspecified asset pricing models with empirical likelihood estimators
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

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