Statistical rehabilitation of improper correlation matrices

Frigessi, Arnoldo; Løland, Anders; Pievatolo, Antonio; Ruggeri, Fabrizio

June 24, 2011

SAMBA

• ISBN:
• Author(s): Frigessi, Arnoldo; Løland, Anders; Pievatolo, Antonio; Ruggeri, Fabrizio
• Title: Statistical rehabilitation of improper correlation matrices
• Volume/number: 11:7
• Name and number of project:
• Journal: Quantitative Finance
• Page(s): 1081-1090
• Conference:
• Refereed: 1
• Publisher:
• Published date: June 24, 2011
• Book title:
• Editor: