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~institution:"Universitat Pompeu Fabra / Departament d'Economia i Empresa"
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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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2
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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3
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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4
Honey, I shrunk the sample covariance matrix
Ledoit, Olivier
(
contributor
);
Wolf, Michael
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002055527
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