John Barnard, Robert McCulloch, Xiao-Li Meng, MODELING COVARIANCE MATRICES IN TERMS OF STANDARD DEVIATIONS AND CORRELATIONS, WITH APPLICATION TO SHRINKAGE, Statistica Sinica, Vol. 10, No. 4 (October ...

LAURENT A. F. CALLOT, ANDERS B. KOCK, MARCELO C. MEDEIROS, MODELING AND FORECASTING LARGE REALIZED COVARIANCE MATRICES AND PORTFOLIO CHOICE, Journal of Applied Econometrics, Vol. 32, No. 1 ...