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Search: subject:"shrinkage method"
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Bai, Jushan
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China Economics and Management Academy, Central University of Finance and Economics (CUFE)
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1
Estimating High Dimensional Covariance Matrices and its Applications
Bai, Jushan
;
Shi, Shuzhong
- In:
Annals of Economics and Finance
12
(
2011
)
2
,
pp. 199-215
approaches are presented, including the
shrinkage
method
, the observable and latent factor method, the Bayesian approach, and the …
Persistent link: https://www.econbiz.de/10009278162
Saved in:
2
Estimating High Dimensional Covariance Matrices and its Applications
Bai, Jushan
;
Shi, Shuzhong
-
China Economics and Management Academy, Central …
-
2011
approaches are presented, including the
shrinkage
method
, the observable and latent factor method, the Bayesian approach, and the …
Persistent link: https://www.econbiz.de/10009322490
Saved in:
3
Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test
Ren, Yu
;
Shimotsu, Katsumi
-
2007
proposes to improve the finite sample properties of the HJ-distance test by applying the
shrinkage
method
(Ledoit and Wolf …
Persistent link: https://www.econbiz.de/10011940740
Saved in:
4
Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test
Ren, Yu
;
Shimotsu, Katsumi
-
Economics Department, Queen's University
-
2007
proposes to improve the finite sample properties of the HJ-distance test by applying the
shrinkage
method
(Ledoit and Wolf …
Persistent link: https://www.econbiz.de/10005688211
Saved in:
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