The informativeness of risk factor disclosures : estimating the covariance matrix of stock returns using similarity measures
Year of publication: |
2023
|
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Authors: | Tilmann, Lukas ; Walther, Martin J. |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 25.2023, 6, p. 1-23
|
Subject: | covariance matrix | information content | risk factor disclosures | similarity measures | textual analysis |
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