{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,8,22]],"date-time":"2025-08-22T18:10:03Z","timestamp":1755886203365,"version":"3.44.0"},"publisher-location":"New York, NY, USA","reference-count":53,"publisher":"ACM","license":[{"start":{"date-parts":[[2023,11,25]],"date-time":"2023-11-25T00:00:00Z","timestamp":1700870400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100006374","name":"Office of Naval Research","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100006374","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100006374","name":"International Business Machines Corporation","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100006374","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":[],"published-print":{"date-parts":[[2023,11,27]]},"DOI":"10.1145\/3604237.3626885","type":"proceedings-article","created":{"date-parts":[[2023,11,25]],"date-time":"2023-11-25T18:09:47Z","timestamp":1700935787000},"page":"445-453","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":0,"title":["Dynamic Covariance Estimation under Structural Assumptions via a Joint Optimization Approach"],"prefix":"10.1145","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-7952-7735","authenticated-orcid":false,"given":"Wenyu","family":"Chen","sequence":"first","affiliation":[{"name":"Massachusetts Institute of Technology, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0009-0005-9042-3449","authenticated-orcid":false,"given":"Riade","family":"Benbaki","sequence":"additional","affiliation":[{"name":"Massachusetts Institute of Technology, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3338-6371","authenticated-orcid":false,"given":"Yada","family":"Zhu","sequence":"additional","affiliation":[{"name":"MIT-IBM Watson AI Lab, IBM Research, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1384-9743","authenticated-orcid":false,"given":"Rahul","family":"Mazumder","sequence":"additional","affiliation":[{"name":"Massachusetts Institute of Technology, US"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"320","published-online":{"date-parts":[[2023,11,25]]},"reference":[{"key":"e_1_3_2_1_1_1","doi-asserted-by":"publisher","DOI":"10.1214\/08-AOS600"},{"key":"e_1_3_2_1_2_1","volume-title":"The group fused lasso for multiple change-point detection. arXiv preprint arXiv:1106.4199","author":"Bleakley Kevin","year":"2011","unstructured":"Kevin Bleakley and Jean-Philippe Vert. 2011. The group fused lasso for multiple change-point detection. arXiv preprint arXiv:1106.4199 (2011)."},{"key":"e_1_3_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_3_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_3_2_1_5_1","volume-title":"Robust principal component analysis?Journal of the ACM (JACM) 58, 3","author":"Cand\u00e8s J","year":"2011","unstructured":"Emmanuel\u00a0J Cand\u00e8s, Xiaodong Li, Yi Ma, and John Wright. 2011. Robust principal component analysis?Journal of the ACM (JACM) 58, 3 (2011), 1\u201337."},{"key":"e_1_3_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1109\/ALLERTON.2010.5707106"},{"key":"e_1_3_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1145\/1961189.1961199"},{"key":"e_1_3_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.04.025"},{"key":"e_1_3_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1214\/13-AOS1182"},{"key":"e_1_3_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2015.1077712"},{"key":"e_1_3_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2517-6161.1977.tb01600.x"},{"key":"e_1_3_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1109\/18.382009"},{"key":"e_1_3_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_3_2_1_14_1","volume-title":"Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the econometric society","author":"Engle F","year":"1982","unstructured":"Robert\u00a0F Engle. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the econometric society (1982), 987\u20131007."},{"key":"e_1_3_2_1_15_1","volume-title":"Multivariate simultaneous generalized ARCH. Econometric theory 11, 1","author":"Engle F","year":"1995","unstructured":"Robert\u00a0F Engle and Kenneth\u00a0F Kroner. 1995. Multivariate simultaneous generalized ARCH. Econometric theory 11, 1 (1995), 122\u2013150."},{"key":"e_1_3_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2017.1345683"},{"key":"e_1_3_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90099-F"},{"key":"e_1_3_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90095-0"},{"key":"e_1_3_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_3_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.09.017"},{"key":"e_1_3_2_1_21_1","volume-title":"Challenges of big data analysis. National science review 1, 2","author":"Fan Jianqing","year":"2014","unstructured":"Jianqing Fan, Fang Han, and Han Liu. 2014. Challenges of big data analysis. National science review 1, 2 (2014), 293\u2013314."},{"key":"e_1_3_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/ectj.12061"},{"key":"e_1_3_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/rssb.12016"},{"key":"e_1_3_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1093\/biostatistics\/kxm045"},{"key":"e_1_3_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.18637\/jss.v033.i01"},{"key":"e_1_3_2_1_26_1","volume-title":"Inference from iterative simulation using multiple sequences. Statistical science 7, 4","author":"Gelman Andrew","year":"1992","unstructured":"Andrew Gelman and Donald\u00a0B Rubin. 1992. Inference from iterative simulation using multiple sequences. Statistical science 7, 4 (1992), 457\u2013472."},{"key":"e_1_3_2_1_27_1","volume-title":"The dynamic factor analysis of economic time series. Latent variables in socio-economic models","author":"Geweke John","year":"1977","unstructured":"John Geweke. 1977. The dynamic factor analysis of economic time series. Latent variables in socio-economic models (1977)."},{"key":"e_1_3_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1145\/3097983.3098037"},{"key":"e_1_3_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2019.1919"},{"key":"e_1_3_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10107-016-1057-8"},{"key":"e_1_3_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.18637\/jss.v100.i12"},{"key":"e_1_3_2_1_32_1","volume-title":"Knowledge Graph Guided Simultaneous Forecasting and Network Learning for Multivariate Financial Time Series. In 2021 KDD Workshop on Machine Learning in Finance.","author":"Ibrahim Shibal","year":"2021","unstructured":"Shibal Ibrahim, Wenyu Chen, Yada Zhu, Pin-Yu Chen, Yang Zhang, and Rahul Mazumder. 2021. Knowledge Graph Guided Simultaneous Forecasting and Network Learning for Multivariate Financial Time Series. In 2021 KDD Workshop on Machine Learning in Finance."},{"key":"e_1_3_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410408"},{"key":"e_1_3_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1080\/10618600.2012.681238"},{"key":"e_1_3_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2018.11.007"},{"key":"e_1_3_2_1_36_1","doi-asserted-by":"publisher","DOI":"10.1080\/10618600.2017.1322091"},{"key":"e_1_3_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2020.1779079"},{"key":"e_1_3_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024900000255"},{"key":"e_1_3_2_1_39_1","volume-title":"Flexible bayesian dynamic modeling of correlation and covariance matrices. Bayesian analysis 15, 4","author":"Lan Shiwei","year":"2020","unstructured":"Shiwei Lan, Andrew Holbrook, Gabriel\u00a0A Elias, Norbert\u00a0J Fortin, Hernando Ombao, and Babak Shahbaba. 2020. Flexible bayesian dynamic modeling of correlation and covariance matrices. Bayesian analysis 15, 4 (2020), 1199."},{"key":"e_1_3_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0047-259X(03)00096-4"},{"key":"e_1_3_2_1_41_1","volume-title":"Estimation of Large Dynamic Covariance Matrices: A Selective Review. Econometrics and Statistics","author":"Degui Li.","year":"2021","unstructured":"Degui Li. 2021. Estimation of Large Dynamic Covariance Matrices: A Selective Review. Econometrics and Statistics (2021)."},{"key":"e_1_3_2_1_42_1","first-page":"77","article-title":"Portfolio Selection","volume":"7","author":"Markowitz Harry","year":"1952","unstructured":"Harry Markowitz. 1952. Portfolio Selection. The Journal of Finance 7, 1 (1952), 77\u201391.","journal-title":"The Journal of Finance"},{"key":"e_1_3_2_1_43_1","volume-title":"The graphical lasso: New insights and alternatives. Electronic journal of statistics 6","author":"Mazumder Rahul","year":"2012","unstructured":"Rahul Mazumder and Trevor Hastie. 2012. The graphical lasso: New insights and alternatives. Electronic journal of statistics 6 (2012), 2125."},{"key":"e_1_3_2_1_44_1","doi-asserted-by":"publisher","DOI":"10.5555\/1756006.1859931"},{"key":"e_1_3_2_1_45_1","volume-title":"Subset selection with shrinkage: Sparse linear modeling when the SNR is low. arXiv preprint arXiv:1708.03288","author":"Mazumder Rahul","year":"2017","unstructured":"Rahul Mazumder, Peter Radchenko, and Antoine Dedieu. 2017. Subset selection with shrinkage: Sparse linear modeling when the SNR is low. arXiv preprint arXiv:1708.03288 (2017)."},{"key":"e_1_3_2_1_46_1","first-page":"3","article-title":"Conic Optimization via Operator Splitting and Homogeneous Self-Dual Embedding","volume":"169","author":"O\u2019Donoghue Brendan","year":"2016","unstructured":"Brendan O\u2019Donoghue, Eric Chu, Neal Parikh, and Stephen Boyd. 2016. Conic Optimization via Operator Splitting and Homogeneous Self-Dual Embedding. Journal of Optimization Theory and Applications 169, 3 (June 2016), 1042\u20131068.","journal-title":"Journal of Optimization Theory and Applications"},{"key":"e_1_3_2_1_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.automatica.2010.03.013"},{"key":"e_1_3_2_1_48_1","volume-title":"Dynamic factor models. Oxford Handbooks Online","author":"Stock H","year":"2011","unstructured":"James\u00a0H Stock and Mark Watson. 2011. Dynamic factor models. Oxford Handbooks Online (2011)."},{"key":"e_1_3_2_1_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2005.00490.x"},{"key":"e_1_3_2_1_50_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2007.01.034"},{"key":"e_1_3_2_1_51_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1017501703105"},{"key":"e_1_3_2_1_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.09.002"},{"key":"e_1_3_2_1_53_1","unstructured":"Matt Wytock. 2014. Time-varying Linear Regression with Total Variation Regularization. (2014)."}],"event":{"name":"ICAIF '23: 4th ACM International Conference on AI in Finance","acronym":"ICAIF '23","location":"Brooklyn NY USA"},"container-title":["4th ACM International Conference on AI in Finance"],"original-title":[],"link":[{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3604237.3626885","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/dl.acm.org\/doi\/pdf\/10.1145\/3604237.3626885","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,22]],"date-time":"2025-08-22T17:36:29Z","timestamp":1755884189000},"score":1,"resource":{"primary":{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3604237.3626885"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,11,25]]},"references-count":53,"alternative-id":["10.1145\/3604237.3626885","10.1145\/3604237"],"URL":"https:\/\/doi.org\/10.1145\/3604237.3626885","relation":{},"subject":[],"published":{"date-parts":[[2023,11,25]]},"assertion":[{"value":"2023-11-25","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}