A multiple testing approach to the regularisation of large sample correlation matrices (2019)
Abstract
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Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1016/j.jeconom.2018.10.006
Publication URI: http://dx.doi.org/10.1016/j.jeconom.2018.10.006
Type: Journal Article/Review
Parent Publication: Journal of Econometrics
Issue: 2