Nonlinear shrinkage estimation of large integrated covariance matrices

DOI10.1093/BIOMET/ASX021MaRDI QIDQ5384486zbMATH OpenOpenAlexFDO

Authors Clifford Lam, Phoenix Feng, Charlie Hu

Publication date 24 June 2019

Published in Biometrika (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/69812/

zbMATH Keywords

extreme eigenvaluehigh dimensionintraday volatilitymaximum exposure boundportfolio allocationrealized covariance

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(15)

• Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
• Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance
• Nonlinear GCV and quasi-GCV for shrinkage models
• Design-free estimation of integrated covariance matrices for high-frequency data
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
• Shrinkage estimation of large covariance matrices: keep it simple, statistician?
• Shrinkage Estimators for Covariance Matrices
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
• High-dimensional covariance matrix estimation
• Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
• Limiting spectral distribution of high-dimensional integrated covariance matrices based on high-frequency data with multiple transactions
• On the estimation of high-dimensional integrated covariance matrix based on high-frequency data with multiple transactions
• On the estimation of large-dimensional covariance matrices based on noisy observations

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