most citedAn Overview on the Estimation of Large Covariance and Precision Matrices

9 citations · 13 across the 3 of their papers we have counts for

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math.ST2015

Robust Inference of Risks of Large Portfolios

Jianqing Fan, Fang Han, Han Liu +1

We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and qua…