Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularised Covariance Regression
C Van Jaarsveldt, GW Peters, M Ames… - IEEE Access, 2024 - ieeexplore.ieee.org
A robust time series basis decomposition and non-stationary trend extraction technique,
known as Empirical Mode Decomposition (EMD), will be combined with Regularised …
known as Empirical Mode Decomposition (EMD), will be combined with Regularised …