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Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data

Fan, Jianqing, Furger, Alex, Xiu, Dacheng
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Language:
english
Journal:
Journal of Business & Economic Statistics
DOI:
10.1080/07350015.2015.1052458
Date:
June, 2015
File:
PDF, 17.00 MB
english, 2015
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