Element Aggregation for Estimation of High-Dimensional Covariance Matrices

Element Aggregation for Estimation of High-Dimensional Covariance Matrices

This study addresses the challenge of estimating high-dimensional covariance matrices in financial markets, where traditional sparsity assumptions often fail due to the interdependence of stock returns across sectors. We present an innovative element-aggregation method that aggregates matrix entries...

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Bibliographic Details
Main Author: Jingying Yang
Format: Article
Language:English
Published: MDPI AG 2024-03-01
Series:Mathematics
Subjects:
covariance matrix
factor models
high dimensionality
portfolio allocation
element aggregation
Online Access:https://www.mdpi.com/2227-7390/12/7/1045

Internet

https://www.mdpi.com/2227-7390/12/7/1045

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