Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management
通过风险因子映射高效估计高维动态协方差：金融风险管理应用
This paper aims to explore a modified method of high-dimensional dynamic variance–covariance matrix estimation via risk factor mapping, which can yield a dependence estimation of asset returns within a large portfolio with high computational efficiency. The essence of our methodology is to express the time-varying dependence of high-dimensional return variables using the co-movement concept of returns with respect to risk factors. A novelty of the proposed methodology is to…