Lukas Tilmann is a graduate student at Ludwig-Maximilians-Universität München, studying toward an M.Sc. in Statistics & Data Science. He holds a B.Sc. in Information Systems from Technische Universität Berlin. His areas of focus include statistical modeling and natural language processing.
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures
The authors examine 10-K and 10-Q filings for risk factor disclosures and investigate if these disclosures can be used to improve estimations of the covariance matrix of stock returns.