Large Dynamic Covariance Matrices
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Publication:6634867
DOI10.1080/07350015.2017.1345683zbMATH Open1548.62562MaRDI QIDQ6634867FDOQ6634867
Authors: Robert F. Engle, Olivier Ledoit, Michael Wolf 
Publication date: 8 November 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
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- Spectrum estimation for large dimensional covariance matrices using random matrix theory
- On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices
- Eigenvectors of some large sample covariance matrix ensembles
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- Asset pricing theory.
- On the empirical distribution of eigenvalues of a class of large dimensional random matrices
- On the estimation of dynamic conditional correlation models
Cited In (10)
- Dynamic CVaR portfolio construction with attention-powered generative factor learning
- Fitting Vast Dimensional Time-Varying Covariance Models
- High-dimensional covariance matrix estimation
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
- Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
- Recurrent neural network go-GARCH model for portfolio selection
- Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
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