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On Optimal Covariance Matrix Shrinkage Levels in Forecast Combination

Thomas Setzer, Marco Fuchs. On Optimal Covariance Matrix Shrinkage Levels in Forecast Combination. In 19th International Conference on Wirtschaftsinformatik (WI 2024), Würzburg, Germany, September 16-19, 2024, Proceedings. pages 13, AISeL, 2024. [doi]

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