Estimating the distribution of the market invariants

Attilio Meucci ()
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Attilio Meucci: Lehman Brothers, Inc.

Chapter 4 in Risk and Asset Allocation, 2005, pp 169-236 from Springer

Keywords: Ordinary Less Square; Maximum Likelihood Estimator; Sample Covariance; Scatter Matrix; Nonparametric Estimator (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-27904-4_4

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DOI: 10.1007/978-3-540-27904-4_4

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