Author: | Froot, K. A. |
Title: | Consistent covariance matrix estimation with cross-sectional dependence and heteroskedasticity in financial data. |
Journal: | Journal of Financial and Quantitative Analysis
1989 : SEP, VOL. 24:3, p. 333-354 |
Index terms: | STATISTICAL METHODS |
Language: | eng |
Abstract: |
SCIMA