On the economic and statistical properties of high dimensional covariance estimation techniques: A comparative analysis of commodity portfolios

Additional Metadata
Keywords	Covariance; Curse of Dimensionality; DECO; Shrinkage; Elastic Net; Kernel methods
Thesis Advisor	Raviv, E
Persistent URL	hdl.handle.net/2105/66869
Series	Business Economics
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Sant, A.K. (2023, July 13). On the economic and statistical properties of high dimensional covariance estimation techniques: A comparative analysis of commodity portfolios. Business Economics. Retrieved from http://hdl.handle.net/2105/66869

Publication