Large Dynamic Covariance Matrix Estimation with an Application to Portfolio Allocation: A Semiparametric Reproducing Kernel Hilbert Space Approach
Crossref DOI link: https://doi.org/10.1007/s11424-021-0168-3
Published Online: 2022-08-05
Published Print: 2022-08
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Peng, Siyang
Guo, Shaojun
Long, Yonghong
Text and Data Mining valid from 2022-08-01
Version of Record valid from 2022-08-01
Article History
Received: 28 July 2020
Revised: 6 May 2021
First Online: 5 August 2022