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A large covariance matrix estimator under intermediate spikiness regimes

Published: 04-12-2019| Version 4 | DOI: 10.17632/nh97vfvhkt.4
Contributors:
Matteo Farnè,
Angela Montanari

Description

See the 'README.pdf' file.

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Other
https://github.com/MatFar88/A-finite-sample-estimator-for-large-covariance-matrices
is related to this dataset

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Institutions

Universita degli Studi di Bologna

Categories

Finance, Central Banking, Banks

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