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Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35.

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  1. Factor mimicking portfolios for climate risk. (2023). Kelly, Bryan ; Engle, Robert F ; de Nard, Gianluca.
    In: ECON - Working Papers.
    RePEc:zur:econwp:429.

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