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~accessRights:"free"
~isPartOf:"Finance and Economics Discussion Series"
~isPartOf:"Management Science"
~isPartOf:"Tinbergen Institute Discussion Papers"
~person:"Callot, Laurent"
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Estimation and
Forecasting
of Large Realized Covariance Matrices and Portfolio Choice
Callot, Laurent
;
Kock, Anders B.
;
Medeiros, Marcelo C.
-
Tinbergen Instituut
-
2014
In this paper we consider modeling and
forecasting
of large realized covariance matrices by penalized vector …
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