This article introduces covariance regression analysis for a p -dimensional response vector. The proposed method explores the regression relationship between the p -dimensional covariance
This paper studies a high-dimensional factor model with sparse idiosyncratic covariance matrix in continuous time, using asynchronous high-frequency financial data contaminated by microstructure noise
This study considers an estimator for the asymptotic variance-covariance matrix in time-series quantile regression models which is robust to the presence of heteroscedasticity and autocorrelation. Whe
This article investigates the large sample properties of the variance, weights, and risk of high-dimensional portfolios where the inverse of the covariance matrix of excess asset returns is estimated
