A large covariance matrix estimator under intermediate spikiness regimes

Name: A large covariance matrix estimator under intermediate spikiness regimes
Creator: Matteo Farnè
Published: 2019-12-04T08:09:25.486Z
Keywords: Finance, Central Banking, Banks

Farnè, Matteo; Montanari, Angela

doi:10.17632/nh97vfvhkt.4

A large covariance matrix estimator under intermediate spikiness regimes

Published: 4 December 2019| Version 4 | DOI: 10.17632/nh97vfvhkt.4

Contributors:

Matteo Farnè, Angela Montanari

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See the 'README.pdf' file.

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Universita degli Studi di Bologna

A large covariance matrix estimator under intermediate spikiness regimes

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