Work

Large Dimensional Covariance Matrix Estimation Via a Factor Model

Year: 2006

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.957599

Authors: Jianqing Fan, Yingying Fan, Jinchi Lv

Institution: Princeton University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W149070604

Cites: 53

Cited by: 16

Related to: 10