112 Article(s)
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Models for indices
We consider a market index model for a large portfolio of risky assets traded in the stock market where the correlation is due to a market factor. By taking the limit of a simple systems of stochastic differential equations (SDEs), we obtain a limit ...
In this thesis, we investigate the data analytic approach to integrate the model selection uncertainty into the statistical inferences of high dimensional estimators. Two closed-form formulae of covariance matrices are derived for high dimensional ba...