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Publications by Laurent A. F. Callot
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice
Journal of Applied Econometrics
Economics
Econometrics
Social Sciences
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Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility
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On the Choice of Covariance Specifications for Portfolio Selection Problems
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Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice
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Large Portfolio Credit Risk Modeling
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Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
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