A blocking and regularization approach to high dimensional realized covariance estimation
Year of publication: |
2009-10
|
---|---|
Authors: | Hautsch, Nikolaus ; Kyj, Lada M. ; Oomen, Roel C.A. |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | covariance estimation | blocking | realized kernel | regularization | microstructure | asynchronous trading |
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