A Sparse Approximate Factor Model for High-Dimensional Covariance Matrix Estimation and Portfolio Selection.
- Published in:
- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbae017
- By:
- Publication type:
- Article
Works matching IS 14798409 AND DT 2025 AND VI 23 AND IP 1
Results: 13
1
2
Comment on: Eigenvalue Tests for the Number of Latent Factors in Short Panels.
- Published in:
- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbad028
- By:
- Publication type:
- Article
3
Comment on: Eigenvalue Tests for the Number of Latent Factors in Short Panels*.
- Published in:
- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbad026
- By:
- Publication type:
- Article
4
An Information-Theoretic Asset Pricing Model.
- Published in:
- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbae033
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- Publication type:
- Article
5
When MIDAS Meets LASSO: The Power of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall.
- Published in:
- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbae016
- By:
- Publication type:
- Article
6
Heterogeneity in Household Inflation Expectations and Monetary Policy.
- Published in:
- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbae034
- By:
- Publication type:
- Article
7
SGMM: Stochastic Approximation to Generalized Method of Moments*.
- Published in:
- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbad027
- By:
- Publication type:
- Article
8
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia.
- Published in:
- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbae032
- By:
- Publication type:
- Article
9
Eigenvalue Tests for the Number of Latent Factors in Short Panels*.
- Published in:
- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbad024
- By:
- Publication type:
- Article
10
Correction to: A New Test on Asset Return Predictability with Structural Breaks.
- Published in:
- 2025
- Publication type:
- Correction Notice
11
Correction to: Score-driven modeling with jumps: An application to S&P500 returns and options.
- Published in:
- 2025
- Publication type:
- Correction Notice
12
Correction to: A Machine Learning Approach to Volatility Forecasting.
- Published in:
- 2025
- Publication type:
- Correction Notice
13
Correction to: Bayesian Inference of Multivariate Regression Models with Endogenous Markov Regime-Switching Parameters.
- Published in:
- 2025
- By:
- Publication type:
- Correction Notice