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Software:149572
CRANxdcclargeMaRDI QIDQ149572FDOQ149572
Estimating a (c)DCC-GARCH Model in Large Dimensions
Mitsuyoshi Imamura, Kei Nakagawa
Last update: 12 July 2018
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.1.0
- A well-conditioned estimator for large-dimensional covariance matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Large Dynamic Covariance Matrices
- Risk-Based Portfolios with Large Dynamic Covariance Matrices
- Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions
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