Rotational invariant estimator for general noisy matrices
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- Christian Bongiorno & Damien Challet, 2021.
"Covariance matrix filtering with bootstrapped hierarchies,"
PLOS ONE, Public Library of Science, vol. 16(1), pages 1-13, January.
- Christian Bongiorno & Damien Challet, 2020. "Covariance matrix filtering with bootstrapped hierarchies," Papers 2003.05807, arXiv.org.
- Christian Bongiorno & Damien Challet, 2021. "Covariance matrix filtering with bootstrapped hierarchies," Post-Print hal-02506848, HAL.
- Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
- Sumanjay Dutta & Shashi Jain, 2023. "Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation," Papers 2305.11298, arXiv.org.
- Huiqin Xin & Sihai Dave Zhao, 2023. "A compound decision approach to covariance matrix estimation," Biometrics, The International Biometric Society, vol. 79(2), pages 1201-1212, June.
- Christian Bongiorno & Marco Berritta, 2023. "Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory," Papers 2304.14098, arXiv.org, revised Apr 2023.
- Florent Benaych-Georges & Nathanaël Enriquez & Alkéos Michaïl, 2019. "Empirical Spectral Distribution of a Matrix Under Perturbation," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1220-1251, September.
- Bongiorno, Christian & Challet, Damien, 2023.
"Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization,"
Finance Research Letters, Elsevier, vol. 52(C).
- Christian Bongiorno & Damien Challet, 2021. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation," Papers 2112.07521, arXiv.org, revised Oct 2022.
- Christian Bongiorno & Damien Challet, 2020.
"Nonparametric sign prediction of high-dimensional correlation matrix coefficients,"
Papers
2001.11214, arXiv.org.
- Christian Bongiorno & Damien Challet, 2021. "Nonparametric sign prediction of high-dimensional correlation matrix coefficients," Post-Print hal-02335586, HAL.
- Ding, Xiucai & Ji, Hong Chang, 2023. "Spiked multiplicative random matrices and principal components," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 25-60.
- Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02354596, HAL.
- Lin Xiao & Arash Sioofy Khoojine, 2024. "Dynamic Anomaly Detection in the Chinese Energy Market During Financial Turbulence Using Ratio Mutual Information and Crude Oil Price Movements," Energies, MDPI, vol. 17(23), pages 1-22, November.
- Silvia Bartolucci & Fabio Caccioli & Francesco Caravelli & Pierpaolo Vivo, 2020. "Upstreamness and downstreamness in input-output analysis from local and aggregate information," Papers 2009.06350, arXiv.org, revised Feb 2024.
- Gautier Marti & Philippe Very & Philippe Donnat & Frank Nielsen, 2015. "A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series," Papers 1509.05475, arXiv.org.
- Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe De Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Documents de travail du Centre d'Economie de la Sorbonne 19022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Feng, Wenjun & Zhang, Zhengjun, 2023. "Risk-weighted cryptocurrency indices," Finance Research Letters, Elsevier, vol. 51(C).
- Yan Zhang & Jiyuan Tao & Zhixiang Yin & Guoqiang Wang, 2022. "Improved Large Covariance Matrix Estimation Based on Efficient Convex Combination and Its Application in Portfolio Optimization," Mathematics, MDPI, vol. 10(22), pages 1-15, November.
- Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Post-Print halshs-02354596, HAL.
- Charles-Albert Lehalle & Guillaume Simon, 2021. "Portfolio selection with active strategies: how long only constraints shape convictions," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 443-463, October.
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