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~isPartOf:"Working Papers / Economics Department, Queen's University"
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Covariance matrix estimation
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Hansen-Jagannathan distance
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Improvement in
Finite
Sample
Properties
of the Hansen-Jagannathan Distance Test
Ren, Yu
;
Shimotsu, Katsumi
-
Economics Department, Queen's University
-
2007
proposes to improve the
finite
sample
properties
of the HJ-distance test by applying the shrinkage method (Ledoit and Wolf …
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