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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Bailey, Natalia
;
Pesaran, M. Hashem
;
Smith, L. Vanessa
-
CESifo
-
2014
This paper proposes a novel regularisation method for the
estimation
of large covariance matrices, which makes use of …
Persistent link: https://www.econbiz.de/10010877672
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