Work

Estimation of Large Financial Covariances: A Cross-Validation Approach

Year: 2024

Type: article

Source: The Journal of Portfolio Management

DOI: 10.3905/jpm.2024.1.669

Authors: Vincent Tan, Stefan Zohren

Institution: University of Oxford

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4405836362

FWCI: 1.08

Cites:

Cited by: 3

Related to: 10