On the public citation graph
Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure
0 signed · 82 inferred · view as graph
Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.
Is this your work? Sign in with ORCID and put your name on the
claims that are yours.
Reference health. See whether every reference in this work resolves to a
known work and none has been retracted — and get a dated CiteStamped
badge you can embed.
What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/s00357-014-9161-zopenalex-extracted
Ward’s Hierarchical Agglomerative Clustering Method: Which Algorithms Implement Ward’s Criterion?
inferredcites →https://doi.org/10.1016/0304-405x(79)90012-6openalex-extracted
The effect of personal taxes and dividends on capital asset prices
inferredcites →https://doi.org/10.1016/0304-405x(81)90018-0openalex-extracted
The relationship between return and market value of common stocks
inferredcites →https://doi.org/10.1016/0304-405x(83)90031-4openalex-extracted
The relationship between earnings' yield, market value and return for NYSE common stocks
inferredcites →https://doi.org/10.1016/0304-405x(95)00868-fopenalex-extracted
Commonality in the determinants of expected stock returns
inferredcites →https://doi.org/10.1016/j.jacceco.2004.10.002openalex-extracted
Do investors overvalue firms with bloated balance sheets?
inferredcites →https://doi.org/10.1016/j.jacceco.2005.04.005openalex-extracted
Accrual reliability, earnings persistence and stock prices
inferredcites →https://doi.org/10.1016/j.jacceco.2006.03.004openalex-extracted
The relation between corporate financing activities, analysts’ forecasts and stock returns
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.012openalex-extracted
Estimating Covariation: Epps Effect, Microstructure Noise
inferredcites →https://doi.org/10.1016/j.jeconom.2010.05.001openalex-extracted
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
inferredcites →https://doi.org/10.1016/j.jeconom.2017.08.015openalex-extracted
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
inferredcites →https://doi.org/10.1016/j.jeconom.2018.09.005openalex-extracted
Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data
inferredcites →https://doi.org/10.1016/j.jeconom.2020.01.006openalex-extracted
Factor-adjusted regularized model selection
inferredcites →https://doi.org/10.1016/j.jeconom.2020.01.007openalex-extracted
High-frequency factor models and regressions
inferredcites →https://doi.org/10.1016/j.jeconom.2023.02.015openalex-extracted
Realized regression with asynchronous and noisy high frequency and high dimensional data
inferredcites →https://doi.org/10.1016/j.jfineco.2007.02.003openalex-extracted
Seasonality in the cross-section of stock returns☆
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-extracted
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.spa.2015.02.008openalex-extracted
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
inferredcites →https://doi.org/10.1016/s0165-4101(98)00026-3openalex-extracted
Accounting valuation, market expectation, and cross-sectional stock returns
inferredcites →https://doi.org/10.1016/s0304-405x(00)00080-5openalex-extracted
Trading activity and expected stock returns
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-extracted
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1017/s0022109011000445openalex-extracted
New Evidence on the Relation between the Enterprise Multiple and Average Stock Returns
inferredcites →https://doi.org/10.1017/s0022109014000210openalex-extracted
Real Asset Illiquidity and the Cost of Capital
inferredcites →https://doi.org/10.1023/a:1020221918065openalex-extracted
Inventory Changes and Future Returns
inferredcites →https://doi.org/10.1023/b:rast.0000028186.44328.3fopenalex-extracted
Implied Equity Duration: A New Measure of Equity Risk
inferredcites →https://doi.org/10.1080/01621459.2017.1401542openalex-extracted
Principal Component Analysis of High-Frequency Data
inferredcites →https://doi.org/10.1080/01621459.2023.2169700openalex-extracted
Are Latent Factor Regression and Sparse Regression Adequate?
inferredcites →https://doi.org/10.1080/07350015.2022.2040520openalex-extracted
Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
inferredcites →https://doi.org/10.1080/07350015.2023.2257270openalex-extracted
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
inferredcites →https://doi.org/10.1086/261114openalex-extracted
Dividends and Taxes: Some Empirical Evidence
inferredcites →https://doi.org/10.1093/rfs/hhm058openalex-extracted
The New Issues Puzzle: Testing the Investment-Based Explanation
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-extracted
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-extracted
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1111/0022-1082.00046openalex-extracted
Is the Risk of Bankruptcy a Systematic Risk?
inferredcites →https://doi.org/10.1111/1468-0262.00392openalex-extracted
Inferential Theory for Factor Models of Large Dimensions
inferredcites →https://doi.org/10.1111/j.1468-0262.2004.00515.xopenalex-extracted
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
inferredcites →https://doi.org/10.1111/j.1475-679x.2007.00240.xopenalex-extracted
The Book‐to‐Price Effect in Stock Returns: Accounting for Leverage
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb05004.xopenalex-extracted
Does the Stock Market Overreact?
inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb03952.xopenalex-extracted
Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-extracted
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00695.xopenalex-extracted
The 52‐Week High and Momentum Investing
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00833.xopenalex-extracted
Empirical Evidence on Capital Investment, Growth Options, and Security Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01335.xopenalex-extracted
Share Issuance and Cross‐sectional Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01370.xopenalex-extracted
Asset Growth and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-extracted
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/j.2517-6161.1996.tb02080.xopenalex-extracted
Regression Shrinkage and Selection Via the Lasso
inferredcites →https://doi.org/10.1111/jofi.12365openalex-extracted
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12734openalex-extracted
Sticky Expectations and the Profitability Anomaly
inferredcites →https://doi.org/10.1111/jofi.13249openalex-extracted
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.1111/rssb.12016openalex-extracted
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
inferredcites →https://doi.org/10.1198/016214501753382273openalex-extracted
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
inferredcites →https://doi.org/10.1198/jasa.2010.tm10163openalex-extracted
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
inferredcites →https://doi.org/10.1198/jasa.2011.tm10155openalex-extracted
A Constrained ℓ 1 Minimization Approach to Sparse Precision Matrix Estimation
inferredcites →https://doi.org/10.1214/09-aos730openalex-extracted
Vast volatility matrix estimation for high-frequency financial data
inferredcites →https://doi.org/10.1214/11-aos905openalex-extracted
Factor models and variable selection in high-dimensional regression analysis
inferredcites →https://doi.org/10.1214/12-aos1018openalex-extracted
High-dimensional regression with noisy and missing data: Provable guarantees with nonconvexity
inferredcites →https://doi.org/10.1214/12-aos1032openalex-extracted
Fast global convergence of gradient methods for high-dimensional statistical recovery
inferredcites →https://doi.org/10.1257/000282805774669574openalex-extracted
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
inferredcites →https://doi.org/10.2139/ssrn.1154144openalex-extracted
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
inferredcites →https://doi.org/10.2139/ssrn.1262416openalex-extracted
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.1267462openalex-extracted
Labor Hiring, Investment, and Stock Return Predictability in the Cross Section
inferredcites →https://doi.org/10.2139/ssrn.152910openalex-extracted
Conditioning Variables and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.195488openalex-extracted
The Stock Market Valuation of Research and Development Expenditures
inferredcites →https://doi.org/10.2139/ssrn.274204openalex-extracted
Market Reactions to Tangible and Intangible Information
inferredcites →https://doi.org/10.2139/ssrn.3793533openalex-extracted
State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data
inferredcites →https://doi.org/10.2139/ssrn.480171openalex-extracted
On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
inferredcites →https://doi.org/10.2307/2329262openalex-extracted
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.2307/2672906openalex-extracted
Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers
inferredcites →https://doi.org/10.2308/accr.2001.76.3.357openalex-extracted
The Mispricing of Abnormal Accruals
inferredcites →https://doi.org/10.2308/accr.2003.78.1.353openalex-extracted
Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing
inferredcites →https://doi.org/10.2308/accr.2004.79.2.355openalex-extracted
Value-Glamour and Accruals Mispricing: One Anomaly or Two?
inferredcites →https://doi.org/10.2308/accr.2008.83.3.823openalex-extracted
The Use of DuPont Analysis by Market Participants
inferredcites →https://doi.org/10.2469/faj.v52.n2.1980openalex-extracted
Do Sales–Price and Debt–Equity Explain Stock Returns Better than Book–Market and Firm Size?
inferredcites →https://doi.org/10.3982/ecta7417openalex-extracted
Inference for Continuous Semimartingales Observed at High Frequency
inferredcites →https://doi.org/10.3982/qe1570openalex-extracted
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
inferredcites →https://doi.org/10.48550/arxiv.2301.06742openalex-extracted
Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta
Editorial review for independent work. ICSAC — the Institute for Complexity
Science and Advanced Computing — runs a structured editorial panel for researchers
publishing outside journals, and publishes on CiteStamp rails. Submission is free
and goes through ORCID: icsacinstitute.org/submit.