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Fan, J., Fan, Y. and Lv, J. (2008) High dimensional covariance matrix estimation using a factor model. Journal of Econometrics, 147, 186-197. Manuscript. Fan, J., Wang, M. and Yao, Q. (2008) Modelling Multivariate Volatilities via Conditionally Uncorrelated Components. Journal of Royal Statistical Society B, 70, 679-702. Manuscript.
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