Large Dynamic Covariance Matrices
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Publication:6634867
DOI10.1080/07350015.2017.1345683zbMATH Open1548.62562MaRDI QIDQ6634867
Olivier Ledoit, Michael Wolf, Robert F. Engle
Publication date: 8 November 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
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- A well-conditioned estimator for large-dimensional covariance matrices
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- Eigenvectors of some large sample covariance matrix ensembles
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- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
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