Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach (Q2674937)
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scientific article; zbMATH DE number 7584955
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| English | Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach |
scientific article; zbMATH DE number 7584955 |
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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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0.8136051893234253
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0.7874132394790649
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0.7654337286949158
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0.7652003765106201
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