A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia, Pesaran, M. Hashem, Smith, L. VanessaLanguage:
english
Journal:
Journal of Econometrics
DOI:
10.1016/j.jeconom.2018.10.006
Date:
November, 2018
File:
PDF, 524 KB
english, 2018