Abstract ： This paper proposes a nonlinear shrinkage estimation method for higher-order moment matrices within a multifactor model framework. The approach extends the nonlinear shrinkage m
Abstract ： This paper proposes a nonlinear shrinkage estimation method for higher-order moment matrices within a multifactor model framework. The approach extends the nonlinear shrinkage m
Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they hav
