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Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series

Fuente: arXiv

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Bibliographic Details
Main Authors:	Žignić, Lucija, Begušić, Stjepan, Kostanjčar, Zvonko
Format:	Preprint
Published:	2024
Subjects:	Statistical Finance Computational Engineering, Finance, and Science Mathematical Finance Methodology
Online Access:	Acceder al recurso
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