Large Dynamic Covariance Matrix Estimation with an Application to Portfolio Allocation: A Semiparametric Reproducing Kernel Hilbert Space Approach

PENG Siyang, GUO Shaojun, LONG Yonghong

Journal of Systems Science & Complexity ›› 2022, Vol. 35 ›› Issue (4) : 1429-1457.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science & Complexity ›› 2022, Vol. 35 ›› Issue (4) : 1429-1457. DOI: 10.1007/s11424-021-0168-3

Large Dynamic Covariance Matrix Estimation with an Application to Portfolio Allocation: A Semiparametric Reproducing Kernel Hilbert Space Approach

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Complexity, 2022, 35(4): 1429-1457 https://doi.org/10.1007/s11424-021-0168-3

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