Estimation of a multiplicative correlation structure in the large dimensional case
Christian M. Hafner, Oliver B. Linton, Haihan Tang
| Year of publication: |
2020
|
|---|---|
| Authors: | Hafner, Christian M. ; Linton, Oliver ; Tang, Haihan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 431-470
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| Subject: | Correlation matrix | Kronecker product | Matrix logarithm | Multiway array data | Portfolio choice | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Lineare Algebra | Linear algebra |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.12.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482816