Estimating High Dimensional Covariance Matrices and its Applications
Year of publication: |
2011-11
|
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Authors: | Bai, Jushan ; Shi, Shuzhong |
Institutions: | China Economics and Management Academy, Central University of Finance and Economics (CUFE) |
Subject: | Factor analysis | Principal components | Singular value decomposition | Random matrix theory | Empirical Bayes | Shrinkage method | Optimal portfolios | CAPM | APT | GMM |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Annals of Economics and Finance, Nov 2011, pages 199-215 Number 516 17 pages |
Classification: | C33 - Models with Panel Data ; c38 |
Source: |
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