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Estimation of a multiplicative correlation structure in the large dimensional case
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Document type | Article de périodique (Journal article) – Article de recherche |
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Access type | Accès libre |
Publication date | 2020 |
Language | Anglais |
Journal information | "Journal of Econometrics" - Vol. 217, no.2, p. 431-470 (2020) |
Peer reviewed | yes |
Publisher | Elsevier BV |
issn | 0304-4076 |
Publication status | Publié |
Affiliations |
UCL
- SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles UCL - SSH/LIDAM/CORE - Center for operations research and econometrics |
Links |
Bibliographic reference | Hafner, Christian ; Linton, Oliver ; Tang, Haihan. Estimation of a multiplicative correlation structure in the large dimensional case. In: Journal of Econometrics, Vol. 217, no.2, p. 431-470 (2020) |
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Permanent URL | http://hdl.handle.net/2078.1/238812 |