Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices

C-Tier

Journal: Journal of Empirical Finance

Year: 2023

Volume: 72

Issue: C

Pages: 23-35

Authors (2)

De Nard, Gianluca (Universität Zürich) Zhao, Zhao (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count