Large Covariance Estimation by Bootstrapped Hierarchies and Shrinkage

Christian Bongiorno (), Vincent Tan and Stefan Zohren
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Christian Bongiorno: MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay
Vincent Tan: Oxford-Man - Oxford-Man Institute of Quantitative Finance - University of Oxford
Stefan Zohren: Oxford-Man - Oxford-Man Institute of Quantitative Finance - University of Oxford

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Date: 2023-12-05
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-04323653

DOI: 10.2139/ssrn.4233173

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