2 citations · 2 across the 1 of their papers we have counts for
2 papers
q-fin.CP2024★ 2 cited
High-dimensional covariance matrix estimators on simulated portfolios with complex structures
Andrés García-Medina
We study the allocation of synthetic portfolios under hierarchical nested, one-factor, and diagonal structures of the population covariance matrix in a high-dimensional scenario. T…
q-fin.ST2019
Determining the number of factors in a forecast model by a random matrix test: cryptocurrencies
Andrés García Medina, Graciela González-Farías
We determine the number of statistically significant factors in a forecast model using a random matrices test. The applied forecast model is of the type of Reduced Rank Regression…