IDEAS home Printed from https://ideas.repec.org/p/aiz/louvad/2012037.html
   My bibliography  Save this paper

Spectral density shrinkage for high-dimensional time series

Author

Listed:
  • Fiecas, Mark
  • von Sachs, Rainer

Abstract

No abstract is available for this item.

Suggested Citation

  • Fiecas, Mark & von Sachs, Rainer, 2012. "Spectral density shrinkage for high-dimensional time series," LIDAM Discussion Papers ISBA 2012037, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Handle: RePEc:aiz:louvad:2012037
    as

    Download full text from publisher

    File URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP2012_37_vonsachs.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    2. Ming Dai, 2004. "Multivariate spectral analysis using Cholesky decomposition," Biometrika, Biometrika Trust, vol. 91(3), pages 629-643, September.
    3. Jentsch, Carsten & Kreiss, Jens-Peter, 2010. "The multiple hybrid bootstrap -- Resampling multivariate linear processes," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2320-2345, November.
    4. Holger Dette & Efstathios Paparoditis, 2009. "Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(4), pages 831-857, September.
    5. Bhm, Hilmar & von Sachs, Rainer, 2009. "Shrinkage estimation in the frequency domain of multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 913-935, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fiecas, Mark & von Sachs, Rainer, 2013. "Data-driven Shrinkage of the Spectral Density Matrix of a High-dimensional Time Series," LIDAM Discussion Papers ISBA 2013044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. von Sachs, Rainer, 2019. "Spectral Analysis of Multivariate Time Series," LIDAM Discussion Papers ISBA 2019008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Mark Fiecas & Jürgen Franke & Rainer von Sachs & Joseph Tadjuidje Kamgaing, 2017. "Shrinkage Estimation for Multivariate Hidden Markov Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 424-435, January.
    4. Chau, Van Vinh & Ombao, Hernando & von Sachs, Rainer, 2017. "Data depth and rank-based tests for covariance and spectral density matrices," LIDAM Discussion Papers ISBA 2017019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Zhao Zhao & Olivier Ledoit & Hui Jiang, 2019. "Risk reduction and efficiency increase in large portfolios: leverage and shrinkage," ECON - Working Papers 328, Department of Economics - University of Zurich, revised Jan 2020.
    6. Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
    7. Tae-Hwy Lee & Ekaterina Seregina, 2024. "Optimal Portfolio Using Factor Graphical Lasso," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 670-695.
    8. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    9. Ding, Wenliang & Shu, Lianjie & Gu, Xinhua, 2023. "A robust Glasso approach to portfolio selection in high dimensions," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 22-37.
    10. Candelon, B. & Hurlin, C. & Tokpavi, S., 2012. "Sampling error and double shrinkage estimation of minimum variance portfolios," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 511-527.
    11. Avagyan, Vahe & Nogales, Francisco J., 2015. "D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties," DES - Working Papers. Statistics and Econometrics. WS 21775, Universidad Carlos III de Madrid. Departamento de Estadística.
    12. Mishra, Anil V., 2016. "Foreign bias in Australian-domiciled mutual fund holdings," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 101-123.
    13. Anatolyev, Stanislav & Gospodinov, Nikolay, 2011. "Specification Testing In Models With Many Instruments," Econometric Theory, Cambridge University Press, vol. 27(2), pages 427-441, April.
    14. Papp, Gábor & Caccioli, Fabio & Kondor, Imre, 2019. "Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization," LSE Research Online Documents on Economics 100294, London School of Economics and Political Science, LSE Library.
    15. Marco Avellaneda & Brian Healy & Andrew Papanicolaou & George Papanicolaou, 2020. "PCA for Implied Volatility Surfaces," Papers 2002.00085, arXiv.org.
    16. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
    17. McDowell, Shaun, 2018. "An empirical evaluation of estimation error reduction strategies applied to international diversification," Journal of Multinational Financial Management, Elsevier, vol. 44(C), pages 1-13.
    18. Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019. "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers 19-12, Federal Reserve Bank of Cleveland.
    19. Olivier Ledoit & Michael Wolf, 2003. "Honey, I shrunk the sample covariance matrix," Economics Working Papers 691, Department of Economics and Business, Universitat Pompeu Fabra.
    20. Badi H. Baltagi & Qu Feng & Chihwa Kao, 2009. "Testing for Sphericity in a Fixed Effects Panel Data Model (Revised July 2009)," Center for Policy Research Working Papers 112, Center for Policy Research, Maxwell School, Syracuse University.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aiz:louvad:2012037. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nadja Peiffer (email available below). General contact details of provider: https://edirc.repec.org/data/isuclbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.