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      Large covariance estimation by thresholding principal orthogonal complements

      Author(s): , ,
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      Publication date (Print):
      Journal: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
      Publisher: Wiley-Blackwell

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          Common risk factors in the returns on stocks and bonds

          Eugene Fama, Kenneth French (1993)
          Article 0 comments Cited 1613 times – based on 0 reviews     Review now
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            Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure

            M. Pesaran (2006)
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              The Cross-Section of Expected Stock Returns

              Eugene Fama, Kenneth French (1992)
              Article 0 comments Cited 664 times – based on 0 reviews     Review now
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                Author and article information

                Journal
                Title: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
                Abbreviated Title: J. R. Stat. Soc. B
                Publisher: Wiley-Blackwell
                ISSN: 13697412
                Publication date Created: September 2013
                Publication date (Print): September 2013
                Volume: 75
                Issue: 4
                Pages: 603-680
                Article
                DOI: 10.1111/rssb.12016
                SO-VID: 708e5828-1a45-4f9a-8f7b-7ae9ad0cd54e
                Copyright © © 2013
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                http://doi.wiley.com/10.1002/tdm_license_1.1

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