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eigenvalues; a favored model is nonlinear shrinkage, derived from Random Matrix Theory (RMT). The present paper marries these two …
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eigenvalues; a favored model is nonlinear shrinkage, derived from Random Matrix Theory (RMT). The present paper aims to marry …
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The most up-to-date and accessible guide to one of the fastest growing areas in financial analysis by one of Europes's leading teaching and researching teams. This classroom-tested advanced undergraduate and graduate textbook provides an in-depth treatment of non-linear models, including...
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