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Department of Economics

Gianluca De Nard

Journal Article

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

Gianluca De Nard, Zhao Zhao

In: Journal of Empirical Finance, Volume 72, p.23-35, 2023

Improved Inference in Financial Factor Models

Beck Elliot, De Nard Gianluca, Wolf Michael

Forthcoming in: International Review of Economics and Finance, No. 4107472, October 2022

Non-Standard Errors

De Nard Gianluca, Hediger Simon, Leippold Markus, Östberg Per, Pelli Michele, Franzoni Francesco, Mihet Roxana, Scaillet Olivier, Schürhoff Norman, Bashchenko Oksana, Mano Nicola

Forthcoming in : Journal of Finance, Swiss Finance Institute Research Paper, No. 22-09, November 2022

Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage
De Nard Gianluca
In: Journal of Financial Econometrics, Vol. 20, (4), p. 569-611, October 2022

Subsampled Factor Models for Asset Pricing: The Rise of Vasa
De Nard Gianluca, Hediger Simon, Leippold Markus
In: Journal of Forecasting, Vol. 41, (6), p. 1217-1247, September 2022

A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited
De Nard Gianluca, Zhao Zhao
In: International Review of Economics and Finance, Vol. 80, p. 654-676, July 2022

Large dynamic covariance matrices: Enhancements based on intraday data
De Nard Gianluca, Engle Robert F, Ledoit Olivier, Wolf Michael
In: Journal of Banking and Finance, Vol. 138, p. 106426-106426, May 2022
Factor models for portfolio selection in large dimensions: the good, the better and the ugly
De Nard Gianluca, Ledoit Olivier, Wolf Michael
In: Journal of Financial Econometrics, Vol. 19, (2), p. 236-257, August 2021

Working Paper

Non-Standard Errors
De Nard Gianluca, Hediger Simon, Leippold Markus, Östberg Per, Pelli Michele, Franzoni Francesco, Mihet Roxana, Scaillet Olivier, Schürhoff Norman, Bashchenko Oksana, Mano Nicola
Swiss Finance Institute Research Paper, No. 22-09, November 2022

Improved Inference in Financial Factor Models
Beck Elliot, De Nard Gianluca, Wolf Michael
SSRN, No. 4107472, October 2022
Using, Taming or Avoiding the Factor Zoo? A Double-Shrinkage Estimator for Covariance Matrices
De Nard Gianluca, Zhao Zhao
SSRN, No. 3914867, December 2021
A Large-Dimensional Test for Cross-Sectional Anomalies: Efficient Sorting Revisited
De Nard Gianluca, Zhao Zhao
SSRN, No. 3560178, April 2020
Subsampled Factor Models for Asset Pricing: The Rise of Vasa
De Nard Gianluca, Hediger Simon, Leippold Markus
SSRN, No. 3557957, April 2020
Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage
De Nard Gianluca
SSRN, No. 3400062, June 2019
Factor models for portfolio selection in large dimensions: the good, the better and the ugly
De Nard Gianluca, Ledoit Olivier, Wolf Michael
Working paper series / Department of Economics, No. 290, December 2018

Dissertation

Asset return prediction and covariance matrix estimation for portfolio selection in large dimensions
De Nard Gianluca