Wenyu Chen, Riade Benbaki, Yada Zhu, Rahul Mazumder. Dynamic Covariance Estimation under Structural Assumptions via a Joint Optimization Approach. In 4th ACM International Conference on AI in Finance, ICAIF 2023, Brooklyn, NY, USA, November 27-29, 2023. pages 445-453, ACM, 2023. [doi]
@inproceedings{ChenBZM23,
title = {Dynamic Covariance Estimation under Structural Assumptions via a Joint Optimization Approach},
author = {Wenyu Chen and Riade Benbaki and Yada Zhu and Rahul Mazumder},
year = {2023},
doi = {10.1145/3604237.3626885},
url = {https://doi.org/10.1145/3604237.3626885},
researchr = {https://researchr.org/publication/ChenBZM23},
cites = {0},
citedby = {0},
pages = {445-453},
booktitle = {4th ACM International Conference on AI in Finance, ICAIF 2023, Brooklyn, NY, USA, November 27-29, 2023},
publisher = {ACM},
}