High-dimensional dynamic covariance matrices with homogeneous structure
Year of publication: |
2022
|
---|---|
Authors: | Ke, Yuan ; Lian, Heng ; Zhang, Wenyang |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 1, p. 96-110
|
Subject: | B-spline | High-dimensional dynamic covariance matrices | Homogeneous structure | Portfolio allocation | Single index models | Theorie | Theory | Portfolio-Management | Portfolio selection | Korrelation | Correlation |
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