A Simple Method for Predicting Covariance Matrices of Financial Returns

DOI10.1561/0800000047arXiv2305.19484OpenAlexW4388879303MaRDI QIDQ6180229

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Publication date: 19 December 2023

Published in: Foundations and Trends® in Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2305.19484

zbMATH Keywords

optimizationstatistical/machine learning

Mathematics Subject Classification ID

Statistics (62-XX)

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