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ArticleRisks of large portfolios

Jianqing Fan A B2015

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Articlegreen2015

Risks of large portfolios

Jianqing Fan A B · Yuan Liao · Xiaofeng Shi

51 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Statistical Methods and Inference Random Matrices and Applications

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 2002Determining the Number of Factors in Approximate Factor Models 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1994Automatic Lag Selection in Covariance Matrix Estimation 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2002Forecasting Using Principal Components From a Large Number of Predictors 2003Inferential Theory for Factor Models of Large Dimensions

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals 2017Structured Volatility Matrix Estimation for Non-Synchronized High-Frequency Financial Data

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Year2015

Typearticle

Published2015-03-07

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations51

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2015.02.015

openalex_workW2949075847

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