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Journal of Business & Economic Statistics Volume 37, 2019 - Issue 2
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Original Articles

Large Dynamic Covariance Matrices

Robert F. EngleDepartment of Finance, New York University, New York, NY10012 ([email protected])
,
Olivier LedoitDepartment of Economics, University of Zurich, CH-8032Zurich, Switzerland ([email protected]);AlphaCrest Capital Management, New York, NY10036 ([email protected])
&
Michael WolfDepartment of Economics, University of Zurich, CH-8032Zurich, Switzerland ([email protected])
Pages 363-375 | Received 01 Jul 2016, Published online: 22 Dec 2017

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