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Banding Sample Autocovariance Matrices of Stationary Processes
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2011Supermodularity and Complementarity2,138 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 1990Rationalizability, Learning, and Equilibrium in Games with Strategic Complementarities1,810 cited
  • 1994Monotone Comparative Statics1,571 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2002Monotone Comparative Statics under Uncertainty385 cited
  • 1991The efficient market inefficiency of capitalization–weighted stock portfolios369 cited
  • 2009An Elementary Theory of Comparative Advantage208 cited
  • 2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection152 cited
  • 2009An Elementary Theory of Comparative Advantage102 cited
  • 2005Some notions of multivariate positive dependence65 cited

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