Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data

DOI10.1016/J.JECONOM.2021.09.014arXiv2006.16501MaRDI QIDQ6344049

Yan Xu, Yin Xia, Dan Yang, Haipeng Shen, Unnamed Author, Dong Wang

Publication date: 29 June 2020

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

This page was built for publication: Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data