Work

Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection

Year: 2020

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2020.105882

Authors: Guilherme V. Moura, André A.P. Santos, Esther Ruiz

Institutions: Universidade Federal de Santa Catarina, Universidad Carlos III de Madrid

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Governo Brasil, Ministerio de Economía y Competitividad, Conselho Nacional de Desenvolvimento Científico e Tecnológico

OpenAlex ID: W3034632018

FWCI: 4.676

Cites: 56

Cited by: 27

Related to: 10