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Robust Covariance Estimation for Approximate Factor Models
In this paper, we study robust covariance estimation under the approximate factor model with observed factors. We propose a novel framework to first estimate the initial joint covariance matrix of the observed data and the factors, and then use it to recover the covariance matrix of the observed dat...
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| Published in: | J Econom |
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| Main Authors: | , , |
| Format: | Artigo |
| Language: | Inglês |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6287924/ https://ncbi.nlm.nih.gov/pubmed/30546195 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.jeconom.2018.09.003 |
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