1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.CP2021
Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version)
Hubeyb Gurdogan, Alec Kercheval
Portfolio managers faced with limited sample sizes must use factor models to estimate the covariance matrix of a high-dimensional returns vector. For the simplest one-factor market…
q-fin.GN2009★ 1 cited
Optimal intervention in the foreign exchange market when interventions affect market dynamics
Alec N. Kercheval, Juan F. Moreno
We address the problem of optimal Central Bank intervention in the exchange rate market when interventions create feedback in the rate dynamics. In particular, we extend the work d…