Dynamic Covariance Estimation under Structural Assumptions via a Joint Optimization Approach-Reference-Cited by-同舟云学术

Dynamic Covariance Estimation under Structural Assumptions via a Joint Optimization Approach

Published:2023-11-25 Issue: Volume: Page:
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Container-title:4th ACM International Conference on AI in Finance
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Author:

Chen Wenyu¹^ORCID,Benbaki Riade¹^ORCID,Zhu Yada²^ORCID,Mazumder Rahul¹^ORCID

Affiliation:

1. Massachusetts Institute of Technology, US

2. MIT-IBM Watson AI Lab, IBM Research, US

Funder

Office of Naval Research

International Business Machines Corporation

Publisher

ACM

Link

https://dl.acm.org/doi/pdf/10.1145/3604237.3626885

Reference53 articles.

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3. Generalized autoregressive conditional heteroskedasticity

4. A Capital Asset Pricing Model with Time-Varying Covariances

5. Emmanuel J Candès , Xiaodong Li , Yi Ma , and John Wright . 2011. Robust principal component analysis?Journal of the ACM (JACM) 58, 3 ( 2011 ), 1–37. Emmanuel J Candès, Xiaodong Li, Yi Ma, and John Wright. 2011. Robust principal component analysis?Journal of the ACM (JACM) 58, 3 (2011), 1–37.

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