Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Xin Chen, Dan Yang, Yan Xu, Yin Xia, Dong Wang, Haipeng Shen
| Year of publication: |
2023
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|---|---|
| Authors: | Chen, Xin ; Yang, Dan ; Yan, Xu ; Xia, Yin ; Wang, Dong ; Shen, Haipeng |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 232.2023, 2, p. 544-564
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| Subject: | Kronecker product | matrix sub-Gaussian distribution | Portfolio construction | Covariance matrix | Testing of non-correlation | one-sample and two-sample | Korrelation | Correlation | Theorie | Theory | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Statistischer Test | Statistical test | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.09.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014340639