This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...
This is a preview. Log in through your library . Journal Information The Journal of Financial and Quantitative Analysis (JFQA) is published bimonthly in February, April, June, August, October, and ...
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