Large Dynamic Covariance Matrices

DOI10.1080/07350015.2017.1345683MaRDI QIDQ6634867zbMATH OpenFDO

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)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
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• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• On the estimation of dynamic conditional correlation models
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions

Cited in

(10)

• High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
• Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
• Dynamic CVaR portfolio construction with attention-powered generative factor learning
• Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
• Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
• High-dimensional covariance matrix estimation
• Fitting Vast Dimensional Time-Varying Covariance Models
• Recurrent neural network go-GARCH model for portfolio selection
• Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach

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