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

Description

See the 'README.pdf' file.

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Institutions

Universita degli Studi di Bologna

Categories

Finance, Central Banking, Banks

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