Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
The research proposes a method for estimating high-dimensional covariance matrices in latent factor models by clustering residual series, focusing on the idiosyncratic component.
Featured in No. 56 on 10 Jul 2024 · 6 days after release · 3 citations today · published in J. Comput. Sci.
- Released
- 4 Jul 2024
- First featured
- No. 56 · 10 Jul 2024
- Citations (Semantic Scholar)
- 3
- Influential citations
- 0
- Published in
- J. Comput. Sci.
- Shares when featured
- 3
- Identifier
- doi:10.1016/j.jocs.2024.102348
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