3 citations · 3 across the 2 of their papers we have counts for
2 papers
econ.EM2024★ 3 cited
Regularizing stock return covariance matrices via multiple testing of correlations
Richard Luger
This paper develops a large-scale inference approach for the regularization of stock return covariance matrices. The framework allows for the presence of heavy tails and multivaria…
stat.ME2016
Identification-robust moment-based tests for Markov-switching in autoregressive models
Jean-Marie Dufour, Richard Luger
This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the ident…