High dimensional covariance matrix estimation using a factor model
Jianqing Fan; Yingying Fan; Jinchi Lv
| Year of publication: |
2008
|
|---|---|
| Authors: | Fan, Jianqing ; Fan, Yingying ; Lv, Jinchi |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 147.2008, 1, p. 186-197
|
| Subject: | Portfolio-Management | Portfolio selection | Multivariate Analyse | Multivariate analysis | Korrelation | Correlation | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003783799