Estimation error in the average correlation of security...

Estimation error in the average correlation of security returns and shrinkage estimation of covariance and correlation matrices

Clarence C.Y. Kwan
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Volume:
5
Year:
2008
Language:
english
DOI:
10.1016/j.frl.2008.09.001
File:
PDF, 178 KB
english, 2008
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