Random Matrix Theory (RMT) has emerged as an indispensable framework for understanding the statistical properties of matrices whose entries are determined by probabilistic processes. Initially ...
Caroline Banton has 6+ years of experience as a writer of business and finance articles. She also writes biographies for Story Terrace. Somer G. Anderson is CPA, doctor of accounting, and an ...
Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...
The concept of correlations between different assets is a cornerstone of Markowitz's optimal portfolio theory, especially for risk management purposes (Markowitz 1968). In a nutshell, correlations ...
The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...
This paper describes a general method for deriving optimal procedures for problems where the covariance matrices are patterned under both null and alternative hypotheses. The pattern considered in ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
This paper develops a method for performing inference using spatially dependent data. We consider test statistics formed using nonparametric covariance matrix estimators that account for ...
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