Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series

By Lucija Žigni´c, Stjepan Beguˇsi´c, Zvonko Kostanjˇcar

Published 2024-06-04

Everscope rating

1788.8

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Block-diagonal idiosyncratic covariance estimation. Problem types: Covariance Estimation, Portfolio Optimization.

arXiv:2407.03781 · Paper rankings

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