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&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …
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&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization …
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An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
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An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009488893
measurement. Therefore, we evaluate the performance of these estimation concepts on the basis of their suitability to select …
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