Proietti, Tommaso, Dipartimento di Economia e Finanza, Università di Roma Tor Vergata, e CREATES, Aarhus, Italy
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50th Scientific meeting of the Italian Statistical Society - Financial Time Series Analysis (Specialized)
Regularized Estimation of High Dimensional Auto- and Cross-Covariance Matrices
Abstract DOC
Contact: ies2017@unitelmasapienza.it