Regularized covariance matrix estimation in high dimensional approximate factor models-Reference-Cited by-同舟云学术

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Regularized covariance matrix estimation in high dimensional approximate factor models

Published:2024-04 Issue: Volume:207 Page:110017
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Zhang Jing,Guo Shaojun

Publisher

Elsevier BV

Reference17 articles.

1. Consistent estimation of high-dimensional factor models when the factor number is over-estimated;Barigozzi;Electron. J. Stat.,2020

2. Least squares after model selection in high-dimensional sparse models;Belloni;Bernoulli,2013

3. Adaptive thresholding for sparse covariance matrix estimation;Cai;J. Amer. Statist. Assoc.,2011

4. A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables;Chen;J. Econometrics,2019

5. The cross-section of expected stock returns;Fama;J. Finance,1992

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