most citedHigh-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model

12 citations · 12 across the 1 of their papers we have counts for

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1 paper

q-fin.ST2018★ 12 cited

High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model

Liao Zhu, Sumanta Basu, Robert A. Jarrow +1

The paper proposes a new algorithm for the high-dimensional financial data -- the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor…