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




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