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 ...

Graphical Gaussian models with edge and vertex symmetries were introduced by Højsgaard & Lauritzen (2008), who gave an algorithm for computing the maximum likelihood estimate of the precision matrix ...

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.

While risk factor disclosures in 10-K filings have been criticized by practitioners as generic and boilerplate, recent studies indicate that these risk reports can be informative. This study ...

We study a class of separable sample covariance matrices of the form 𝒬̃1 := Ã1/2 X B̃ X* Ã1/2. Here, Ã and B̃ are positive definite matrices whose spectrums consist of bulk spectrums plus several ...

This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...

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