Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach (Q2674937): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1007/s11424-021-0168-3 / rank
 
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Latest revision as of 02:50, 30 July 2024

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Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach
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    Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach (English)
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    14 September 2022
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    dynamic structure
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    factor models
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    high dimensional covariance matrices
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    portfolio allocation
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    reproducing kernel Hilbert space
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