Work

Banding Sample Autocovariance Matrices of Stationary Processes

Year: 2022

Type: article

Source: RePEc: Research Papers in Economics

DOI: 10.1093/jjfinec/nbaa018

Authors: Raj Agrawal, Uma Roy, Caroline Uhler

Institutions: MIT Computer Science and Artificial Intelligence Laboratory, Massachusetts Institute of Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W3084069742

FWCI: 3.478

Cites: 49

Cited by: 30

Related to: 10