Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach

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Publication:2674937

DOI10.1007/s11424-021-0168-3zbMath1497.91282OpenAlexW4289886681MaRDI QIDQ2674937

Siyang Peng, Yong-Hong Long, Shao-Jun Guo

Publication date: 14 September 2022

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-021-0168-3






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