CONSISTENT COVARIANCE-MATRIX ESTIMATION WITH CROSS-SECTIONAL DEPENDENCE AND HETEROSKEDASTICITY IN FINANCIAL DATA

被引：346

作者：

FROOT, KA ^{[1
]}

机构：

[1] MIT,ALFRED P SLOAN SCH MANAGEMENT,CAMBRIDGE,MA 02139

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1989年 / 24卷 / 03期

关键词：

D O I：

10.2307/2330815

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：333 / 355

页数：23

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