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Covariance matrix filtering and portfolio optimisation : the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
Bongiorno, Christian
;
Challet, Damien
- In:
Quantitative finance
24
(
2024
)
9
,
pp. 1227-1234
Persistent link: https://www.econbiz.de/10015196881
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