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Portfolio turnover when IC is time-varying
Ding, Zhuanxin
;
Martin, R. Douglas
;
Yang, Chaojun
- In:
The journal of asset management
21
(
2020
)
7
,
pp. 609-622
Persistent link: https://www.econbiz.de/10012421074
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Error
covariance
matrix
estimation using ridge estimator
Luo, June
;
Kulasekera, K.B.
- In:
Statistics & Probability Letters
83
(
2013
)
1
,
pp. 257-264
adaptive thresholding technique to estimate the
error
covariance
matrix
in high dimensional factor model. By obtaining the …
Persistent link: https://www.econbiz.de/10011039832
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