Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.109465
Abstract: Abstract We apply the factor approach to the correlation matrix to forecast large covariance matrix of asset returns using high-frequency data, using the principal component method to model the underlying latent factors of the correlation… read more here.
Keywords: matrix; correlation matrix; large covariance; covariance matrix ... See more keywords
Large covariance matrices: accurate models without mocks
Sign Up to like & getrecommendations! Published in 2019 at "Monthly Notices of the Royal Astronomical Society"
DOI: 10.1093/mnras/stz1359
Abstract: Covariance matrix estimation is a persistent challenge for cosmology. We focus on a class of model covariance matrices that can be generated with high accuracy and precision, using a tiny fraction of the computational resources… read more here.
Keywords: matrices accurate; covariance matrices; large covariance; accurate models ... See more keywords
Comparing large covariance matrices under weak conditions on the dependence structure and its application to gene clustering.
Sign Up to like & getrecommendations! Published in 2017 at "Biometrics"
DOI: 10.1111/biom.12552
Abstract: Comparing large covariance matrices has important applications in modern genomics, where scientists are often interested in understanding whether relationships (e.g., dependencies or co-regulations) among a large number of genes vary between different biological states. We… read more here.
Keywords: covariance matrices; covariance; large covariance; gene clustering ... See more keywords