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"Block-diagonal idiosyncratic covariance estimation in high-dimensional ..."

Lucija Zignic, Stjepan Begusic, Zvonko Kostanjcar (2024)

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DOI: 10.1016/J.JOCS.2024.102348

access: closed

type: Journal Article

metadata version: 2024-07-14

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Lucija Zignic, Stjepan Begusic, Zvonko Kostanjcar:
Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series. J. Comput. Sci. 81: 102348 (2024)

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