A Dynamic Structure for High Dimensional Covariance...

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A Dynamic Structure for High Dimensional Covariance Matrices and its Application in Portfolio Allocation

Guo, Shaojun, Box, John Leigh, Zhang, Wenyang
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Language:
english
Journal:
Journal of the American Statistical Association
DOI:
10.1080/01621459.2015.1129969
Date:
December, 2015
File:
PDF, 886 KB
english, 2015
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