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 APA Style APA-ALL Style AAA 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). On the economic and statistical properties of high dimensional covariance estimation techniques: A comparative analysis of commodity portfolios. In Business Economics.http://hdl.handle.net/2105/66869

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