Estimation of a multiplicative correlation structure in the large dimensional case

Author:

Hafner Christian M.,Linton Oliver B.,Tang Haihan

Funder

ERC

”Chenguang Program” supported by Shanghai Education Development Foundation and Shanghai Municipal Education Commission

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference90 articles.

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5. A New Parametrization of Correlation Matrices;Archakov,2018

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