This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models are available for generating such forecasts ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

This article proposes a data-driven method to identify parsimony in the covariance matrix of longitudinal data and to exploit any such parsimony to produce a statistically efficient estimator of the ...