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0560357 - NHU-C 2023 RIV NL eng J - Journal Article
Anatolyev, Stanislav - Pyrlik, Vladimir
Copula shrinkage and portfolio allocation in ultra-high dimensions.
Journal of Economic Dynamics & Control. Roč. 143, October (2022), č. článku 104508. ISSN 0165-1889. E-ISSN 1879-1743
R&D Projects: GA ČR(CZ) GA20-28055S
Institutional support: Cooperatio-COOP
Keywords : Gaussian copula * t copula * high dimensionality
OECD category: Applied Economics, Econometrics
Impact factor: 1.9, year: 2022
Method of publishing: Limited access
https://doi.org/10.1016/j.jedc.2022.104508
Permanent Link: https://hdl.handle.net/11104/0333293