In this formula, V is the block diagonal matrix of the plot-by-plot correlation structure, with seven copies of R 4 on the diagonal. The matrix Z is the design matrix corresponding to the block effect ...

More subtle, but significant changes of correlation can also be observed between single stocks and/or between sectors in the stock market. For example, a downward move of the S&P 500 leads to an ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

The covariance matrix of is where -denotes a generalized inverse (refer to Searle 1971). However, G and R are usually unknown and are estimated using one of the aforementioned methods. These estimates ...

This study contributes to the ongoing discussion by investigating whether risk factor disclosures contain valuable information that can be used to improve the estimation of the covariance matrix of ...