Estimating a covariance matrix for market risk management and the case of credit default swaps
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Publication:4628036
DOI10.1080/14697688.2018.1494850zbMath1407.91231OpenAlexW3122448341WikidataQ129429365 ScholiaQ129429365MaRDI QIDQ4628036
Richard Neuberg, Paul Glasserman
Publication date: 6 March 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2018.1494850
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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