variable. We propose a consistent estimator of the variance-covariance matrix of the new estimator. Finally, we investigate …

The central message of this paper is that nobody should be using the sample covariance matrix for the purpose of …, we suggest using the matrix obtained from the sample covariance matrix through a transformation called shrinkage. This …

Many statistical applications require an estimate of a covariance matrix and/or its inverse.When the matrix dimension … is large compared to the sample size, which happensfrequently, the sample covariance matrix is known to perform poorly … situations. In the absence of further knowledge about the structure of thetrue covariance matrix, the most successful approach so …

Shrinkage estimation of the covariance matrix of asset returns was introduced to the finance profession several years … measure for covariance matrix estimation with insufficient observations of the underlying variables. The approach is about … taking a weighted average of the sample covariance matrix and a target matrix of the same dimensions. The objective is to …

) covariance matrix. Results showed that increments in regional intra-trade are associated with reductions of inequality, more in …