Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for ...

There has been an increasing interest in testing the equality of large Pearson’s correlation matrices. However, in many ...

In this tutorial we begin our investigation of multivariate statistics using correlation and scatterplots. The idea is that we ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential.