A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia, Pesaran, M. Hashem and Smith, Lynette Vanessa orcid.org/0000-0003-0489-047X (2019) A multiple testing approach to the regularisation of large sample correlation matrices. Journal of Econometrics. pp. 507-534. ISSN 0304-4076

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Copyright, Publisher and Additional Information: © 2018 Elsevier B.V. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: High-dimensional data,Multiple testing,Non-Gaussian observations,Shrinkage,Sparsity,Thresholding,Economics and Econometrics
Dates:
  • Published: 1 February 2019
  • Published (online): 5 November 2018
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 01 Nov 2018 12:10
Last Modified: 29 May 2020 10:10
Published Version: https://doi.org/10.1016/j.jeconom.2018.10.006
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jeconom.2018.10.006
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