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How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices
15 references·1 citing·43 second hop
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this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model569 cited
  • 1973ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION280 cited
  • 1995The Three Types of Factor Models: A Comparison of Their Explanatory Power225 cited
  • 2001Return to RiskMetrics: The Evolution of a Standard174 cited
  • 1978“ARE BETAS BEST?”†104 cited
  • 2006Improved Estimates of Correlation Coefficients and their Impact on Optimum Portfolios61 cited
  • 2005Random Matrix Filtering in Portfolio Optimization

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  • 2016Multifactor risk models and heterotic CAPM28 cited