High dimensional covariance matrix estimation using a factor model
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- 18 September 2008
- journal article
- Published by Elsevier BV in Journal of Econometrics
- Vol. 147 (1), 186-197
- https://doi.org/10.1016/j.jeconom.2008.09.017
Abstract
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This publication has 22 references indexed in Scilit:
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