A blocking and regularization approach to high-dimensional realized covariance estimation
Year of publication: |
2012
|
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Authors: | Hautsch, Nikolaus ; Kyj, Lada M. ; Oomen, Roel C. A. |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 27.2012, 4, p. 625-645
|
Subject: | Schätztheorie | Estimation theory | Schätzung | Estimation | Varianzanalyse | Analysis of variance | Korrelation | Correlation |
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