Finding the Nearest Valid Covariance Matrix: an FX Market Case
Year of publication: |
2013-10-26
|
---|---|
Authors: | Bouev, Maxim ; Manaev, Ilia ; Minabutdinov, Aleksei |
Institutions: | Department of Economics, European University at St. Petersburg |
Subject: | covariance matrix | correlation matrix | foreign exchange |
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