Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca, Engle, Robert F., Ledoit, Olivier, Wolf, Michael
Published in Journal of banking & finance (01.05.2022)
Published in Journal of banking & finance (01.05.2022)
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Journal Article
Large Dynamic Covariance Matrices
Engle, Robert F., Ledoit, Olivier, Wolf, Michael
Published in Journal of business & economic statistics (03.04.2019)
Published in Journal of business & economic statistics (03.04.2019)
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Journal Article
Nonlinear shrinkage estimation of large-dimensional covariance matrices
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Journal Article