Large Dynamic Covariance Matrices
- Engle, Robert F. Department of Finance, New York University, New York, NY 10012 ()
- Ledoit, Olivier AlphaCrest Capital Management, New York, NY 10036 ()
- Wolf, Michael Department of Economics, University of Zurich, CH-8032 Zurich, Switzerland ()
- 2017-12-22
Published in:
- Journal of Business & Economic Statistics. - Informa UK Limited. - 2017, vol. 37, no. 2, p. 363-375
Statistics, Probability and Uncertainty
Economics and Econometrics
Statistics and Probability
Social Sciences (miscellaneous)
- Language
-
- English
- Open access status
- green
- Identifiers
-
- DOI 10.1080/07350015.2017.1345683
- ISSN 0735-0015
- Persistent URL
- https://sonar.ch/global/documents/41680
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