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 and Complexity . 2022, (4): 1429 -1457 . DOI: 10.1007/s11424-021-0168-3