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.

PDF(1892 KB)
中国科学院数学与系统科学研究院期刊网
JSSC
PDF(1892 KB)
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

    {{javascript:window.custom_author_en_index=0;}}
  • {{article.zuoZhe_EN}}
Author information +
History +

HeighLight

{{article.keyPoints_en}}

Abstract

{{article.zhaiyao_en}}

Key words

QR code of this article

Cite this article

EndNote

Ris (Procite)

Bibtex

Download Citations
{{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

References

Publishing order | Descend order by publishing year | Descend order by cited within

References

{{article.reference}}

Funding

RIGHTS & PERMISSIONS

{{article.copyrightStatement_en}}
{{article.copyrightLicense_en}}
PDF(1892 KB)

Accesses

Citation

Detail
Sections
Recommended

/

〈 〉