113 citations · 564 across the 30 of their papers we have counts for
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math.ST2014
Exact and Asymptotic Tests on a Factor Model in Low and Large Dimensions with Applications
Taras Bodnar, Markus Reiss
In the paper, we suggest three tests on the validity of a factor model which can be applied for both small dimensional and large dimensional data. Both the exact and asymptotic dis…
q-fin.ST2014★ 113 cited
Estimation of the Global Minimum Variance Portfolio in High Dimensions
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator whic…