High dimensional covariance matrix estimation using a factor model (Q299275): Difference between revisions

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Revision as of 22:10, 6 February 2024

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High dimensional covariance matrix estimation using a factor model
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    High dimensional covariance matrix estimation using a factor model (English)
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    22 June 2016
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    factor model
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    diverging dimensionality
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    covariance matrix estimation
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    asymptotic properties
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    portfolio management
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