Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection

2020 ◽  
Vol 118 ◽  
pp. 105882 ◽  
Author(s):  
Guilherme V. Moura ◽  
André A.P. Santos ◽  
Esther Ruiz
Keyword(s):  
Portfolio Selection ◽  
Covariance Matrices ◽  
High Dimensional ◽  
Conditional Covariance

scholarly journals Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach

2019 ◽  
Author(s):  
Carlos César Trucíos Maza ◽  
João Henrique Gonçalves Mazzeu ◽  
Marc Hallin ◽  
Luiz Koodi Hotta ◽  
Pedro L. Valls Pereira ◽  
...  
Keyword(s):  
Time Series ◽  
Covariance Matrices ◽  
High Dimensional ◽  
Dynamic Factor ◽  
Conditional Covariance ◽  
General Dynamic

Global one-sample tests for high-dimensional covariance matrices

2021 ◽  
pp. 1-23
Author(s):  
Xiaoyi Wang ◽  
Baisen Liu ◽  
Ning-Zhong Shi ◽  
Guo-Liang Tian ◽  
Shurong Zheng
Keyword(s):  
Covariance Matrices ◽  
High Dimensional
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