W2601695767

• Are minimum variance portfolios in multi-factor models long in low-beta assets?

  2024 Mathematics and Financial Economics article Economics, Econometrics and Finance Financial Markets and Investment Strategies Open access

  2

  citations
• On Extreme Value Asymptotics of Projected Sample Covariances in High Dimensions with Applications in Finance and Convolutional Networks

  2024 Springer eBooks book-chapter Economics, Econometrics and Finance Stochastic processes and financial applications

  0

  citations
• Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices

  2023 Journal of Multivariate Analysis article Mathematics Statistical and numerical algorithms

  2

  citations
• Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models

  2020 Scandinavian Journal of Statistics article Mathematics Statistical Methods and Inference Open access

  9

  citations
• Detecting changes in the second moment structure of high-dimensional sensor-type data in a K-sample setting

  2020 Sequential Analysis article Economics, Econometrics and Finance Complex Systems and Time Series Analysis

  1

  citations
• Testing and estimating change-points in the covariance matrix of a high-dimensional time series

  2020 Journal of Multivariate Analysis article Mathematics Statistical Methods and Inference Open access

  22

  citations
• Detecting Changes in the Second Moment Structure of High-Dimensional Sensor-Type Data in a $K$-Sample Setting

  2020 arXiv (Cornell University) preprint Economics, Econometrics and Finance Complex Systems and Time Series Analysis Open access

  0

  citations

7 results