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~isPartOf:"Discussion paper / Tinbergen Institute"
~person:"Callot, Laurent"
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Callot, Laurent
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Estimation and forecasting of large realized covariance matrices and portfolio choice
Callot, Laurent
;
Kock, Anders B.
;
Medeiros, Marcelo C.
-
2014
In this paper we consider
modeling
and forecasting of large realized covariance matrices by penalized vector …
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