Robust covariance estimation for approximate factor models
- 6 October 2018
- journal article
- conference paper
- Published by Elsevier in Journal of Econometrics
- Vol. 208 (1) , 5-22
Abstract
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Funding Information
- NSF (DMS-1206464, DMS-1406266)
- NIH (R01-GM072611-11, NIH R01GM100474- 04)
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