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JEL: C55 - Large Data Sets: Modeling and Analysis
Journal Article
A Sparse Approximate Factor Model for High-Dimensional Covariance Matrix Estimation and Portfolio Selection Open Access
Journal of Financial Econometrics, Volume 23, Issue 1, 2025, nbae017, https://doi.org/10.1093/jjfinec/nbae017
Published: 31 July 2024
Journal Article
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach Open Access
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1759–1784, https://doi.org/10.1093/jjfinec/nbae014
Published: 27 June 2024
Journal Article
Factor Overnight GARCH-Itô Models Free
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1209–1235, https://doi.org/10.1093/jjfinec/nbad032
Published: 19 December 2023
Journal Article
Optimal Portfolio Using Factor Graphical Lasso Get access
Journal of Financial Econometrics, Volume 22, Issue 3, Summer 2024, Pages 670–695, https://doi.org/10.1093/jjfinec/nbad011
Published: 12 April 2023
Journal Article
Endogenous Volatility in the Foreign Exchange Market Get access
Journal of Financial Econometrics, Volume 22, Issue 4, Fall 2024, Pages 773–807, https://doi.org/10.1093/jjfinec/nbad008
Published: 24 March 2023
Journal Article
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion Get access
Journal of Financial Econometrics, Volume 21, Issue 2, Spring 2023, Pages 368–411, https://doi.org/10.1093/jjfinec/nbab003
Published: 02 October 2021
Journal Article
A Descriptive Study of High-Frequency Trade and Quote Option Data Get access
Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 128–177, https://doi.org/10.1093/jjfinec/nbaa036
Published: 06 January 2021
Journal Article
Mixed-Frequency Macro–Finance Factor Models: Theory and Applications Get access
Journal of Financial Econometrics, Volume 18, Issue 3, Summer 2020, Pages 585–628, https://doi.org/10.1093/jjfinec/nbaa015
Published: 21 September 2020
Journal Article
Deep Learning for Mortgage Risk* Free
Journal of Financial Econometrics, Volume 19, Issue 2, Spring 2021, Pages 313–368, https://doi.org/10.1093/jjfinec/nbaa025
Published: 28 July 2020
Journal Article
A Latent Factor Model for Forecasting Realized Variances Get access
Journal of Financial Econometrics, Volume 19, Issue 5, Autumn 2021, Pages 860–909, https://doi.org/10.1093/jjfinec/nbz036
Published: 11 February 2020
Journal Article
Positional Portfolio Management Get access
Journal of Financial Econometrics, Volume 19, Issue 4, Fall 2021, Pages 650–706, https://doi.org/10.1093/jjfinec/nbz022
Published: 11 November 2019
Journal Article
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models Get access
Journal of Financial Econometrics, Volume 17, Issue 3, Summer 2019, Pages 462–494, https://doi.org/10.1093/jjfinec/nby006
Published: 01 March 2018
