Showing 1 - 10 of 28,764
Persistent link: https://www.econbiz.de/10011459578
Persistent link: https://www.econbiz.de/10011724627
Persistent link: https://www.econbiz.de/10011821757
Persistent link: https://www.econbiz.de/10010236549
Persistent link: https://www.econbiz.de/10001548526
Persistent link: https://www.econbiz.de/10001630681
Persistent link: https://www.econbiz.de/10001543234
Persistent link: https://www.econbiz.de/10002544874
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10003909174
Persistent link: https://www.econbiz.de/10003571280