most citedTesting and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data

4 citations · 4 across the 1 of their papers we have counts for

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1 paper

stat.ME2020★ 4 cited

Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data

Xin Chen, Dan Yang, Yan Xu +3

Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between…