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Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
Barigozzi, Matteo
;
Brownlees, Christian T.
;
Gallo, …
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Dipartimento di Statistica, Informatica, Applicazioni …
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2010
estimation technique, based on a combination of seminonparametric methods and
copula
theory, that is suitable for large …
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