High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation (Q6608678)
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scientific article; zbMATH DE number 7916570
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation |
scientific article; zbMATH DE number 7916570 |
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High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation (English)
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20 September 2024
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dynamic volatility model
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high-dimension
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nonlinear shrinkage
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sample covariance matrix
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spectral distribution
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