Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data

Froot, K.A. “Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data.” Journal of Financial and Quantitative Analysis 24, no. 3 (1989): 333–355.