Journal: Journal of Financial Econometrics

Abbreviation

J. financ. econom.

Publisher

Oxford University Press

Journal Volumes

ISSN

1479-8417
1479-8409

Description

Filters

2006 - 200922020 - 20252
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Publications 1 - 4 of 4
  • A Sparse Approximate Factor Model for High-Dimensional Covariance Matrix Estimation and Portfolio Selection
    Item type: Journal Article
    Daniele, Maurizio; Pohlmeier, Winfried; Zagidullina, Aygul (2025)
    Journal of Financial Econometrics
    We propose a novel estimation approach for the covariance matrix based on the l1-regularized approximate factor model (AFM). Our sparse approximate factor (SAF) covariance estimator allows for the existence of weak factors and hence relaxes the pervasiveness assumption generally adopted for the standard AFM. We prove the consistency of the covariance matrix estimator under the Frobenius norm as well as the consistency of the factor loadings and the factors. Our Monte Carlo simulations reveal that the SAF covariance estimator has superior properties in finite samples for low and high dimensions and different designs of the covariance matrix. Moreover, in an out-of-sample portfolio forecasting application, the estimator uniformly outperforms alternative portfolio strategies based on alternative covariance estimation approaches and modeling strategies including the 1/N-strategy.
  • Linear Correlation and EVT: Properties and Caveats
    Item type: Journal Article
    Embrechts, Paul (2009)
    Journal of Financial Econometrics
  • Empirical Asset Pricing with Score-Driven Conditional Betas
    Item type: Journal Article
    Giroux, Thomas; Royer, Julien; Zerbib, Olivier David (2024)
    Journal of Financial Econometrics
    We develop a novel empirical asset pricing framework to estimate time-varying risk premia, building upon score-driven conditional betas models. First, we extend the theory by establishing the asymptotic distribution of standard test statistics, allowing us to assess the significance of a given factor in the regression. Additionally, we introduce a bootstrap procedure and establish its validity. Second, we propose a two-step estimation procedure to recover time-varying risk premia. We illustrate the performance of our tests and risk premia estimation through simulations. Third, we estimate a time-varying premium associated with a carbon risk factor in the cross-section of U.S. industry portfolios.
  • Inequality constraints in the fractionally integrated GARCH model
    Item type: Journal Article
    Conrad, Christian; Haag, Berthold (2006)
    Journal of Financial Econometrics
Publications 1 - 4 of 4