High dimensional covariance matrix estimation using a factor model

Published 2008 View Full Article

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Title
High dimensional covariance matrix estimation using a factor model
Authors
Keywords
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Journal
JOURNAL OF ECONOMETRICS
Volume 147, Issue 1, Pages 186-197
Publisher
Elsevier BV
Online
2008-09-19
DOI
10.1016/j.jeconom.2008.09.017

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