A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Work
Year: 2018
Type: article
Source: Journal of Econometrics
Authors Clifford Lam, Phoenix Feng
Institution London School of Economics and Political Science
Cites: 37
Cited by: 9
Related to: 10
FWCI: 1.372
Citation percentile (by year/subfield): 88.43
Subfield: Finance
Domain: Social Sciences
Open Access status: green