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    Essays on Applications of the Factor Model 

    Sun, Xiaolin (2014-02-24)
    Estimating the volatilities and correlations of asset returns plays an important role in portfolio and risk management. As of late, interest in the estimation of the covariance matrix of large dimensional portfolios has increased. Estimating large dimensional covariance poses a challenge in that the cross-sectional dimension ...

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    AuthorSun, Xiaolin (1)SubjectCovariance Matrix; Factor Model; Volatility (1)Economics (1)
    economics (1)
    Finance (1)
    ... View MoreDate Issued2014 (1)

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