Showing 1 - 10 of 27
Persistent link: https://www.econbiz.de/10001166396
Persistent link: https://www.econbiz.de/10011582055
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10011405221
Persistent link: https://www.econbiz.de/10001717170
Persistent link: https://www.econbiz.de/10001717174
Persistent link: https://www.econbiz.de/10001652551
Persistent link: https://www.econbiz.de/10001676620
Persistent link: https://www.econbiz.de/10001676624
Persistent link: https://www.econbiz.de/10001705483
Persistent link: https://www.econbiz.de/10001705486