Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084): Difference between revisions
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Revision as of 18:10, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump robust daily covariance estimation by disentangling variance and correlation components |
scientific article |
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Jump robust daily covariance estimation by disentangling variance and correlation components (English)
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30 December 2012
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high-frequency data
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integrated covariance
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jumps
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non-synchronous trading
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realized covariance
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