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Zeitreihenanalyse
Covariance estimation
21
Korrelation
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Schätztheorie
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covariance estimation
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Estimation theory
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Epps effect
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asset allocation
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estimation uncertainty
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model risk
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Asynchronous Trading
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Heaton, Christopher
1
Jiang, Binyan
1
Liu, Cheng
1
Liu, Guannan
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Tang, Cheng Yong
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Yao, Shuang
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Economics letters
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International journal of forecasting
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Journal of financial econometrics
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ECONIS (ZBW)
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1
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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2
A robust test for predictability with unknown persistence
Liu, Guannan
;
Yao, Shuang
- In:
Economics letters
189
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012228019
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3
Testing for multiple-period predictability between serially dependent time series
Heaton, Christopher
- In:
International journal of forecasting
31
(
2015
)
3
,
pp. 587-597
Persistent link: https://www.econbiz.de/10011474421
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