@inproceedings{jianqing2019robust,
title={Robust covariance estimation for approximate factor models},
author={Jianqing Fan, Weichen Wang, and Yiqiao Zhong},
url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114052414603942},
booktitle={Journal of econometrics},
volume={208},
number={1},
pages={5-22},
year={2019},
}
Jianqing Fan, Weichen Wang, and Yiqiao Zhong. Robust covariance estimation for approximate factor models. 2019. Vol. 208. In Journal of econometrics. pp.5-22. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114052414603942.