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具有同质结构的高维动态协方差矩阵AI 解读

High-dimensional covariance matrices appear in many disciplines. Much literature has devoted to the research in high-dimensional constant covariance matrices. However, constant covariance matrices are not sufficient in applications, for example, in portfolio allocation, dynamic covariance matrices would be more appropriate. As argued in this article, there are two difficulties in the introduction of dynamic structures into covariance matrices: (1) simply assuming each entry…

增广因子模型：市场风险因子验证与债券风险溢价预测AI 解读

We study factor models augmented by observed covariates that have explanatory powers on the unknown factors. In financial factor models, the unknown factors can be reasonably well explained by a few observable proxies, such as the Fama–French factors. In diffusion index forecasts, identified factors are strongly related to several directly measurable economic variables such as consumption-wealth variable, financial ratios, and term spread. With those covariates, both the…