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Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
Ledoit, Olivier (contributor); Wolf, Michael (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001625987
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Flexible multivariate GARCH modeling with an application to international stock markets
Ledoit, Olivier (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001625994
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Improved estimation of the covariance matrix of stock returns with an application to portofolio selection
Ledoit, Olivier (contributor); Wolf, Michael (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001627199
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Honey, I shrunk the sample covariance matrix
Ledoit, Olivier (contributor); Wolf, Michael (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002055527