High-dimensional multivariate realized volatility estimation (Q2323370): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 15:05, 2 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional multivariate realized volatility estimation |
scientific article |
Statements
High-dimensional multivariate realized volatility estimation (English)
0 references
2 September 2019
0 references
realized covolatility matrix
0 references
high-dimensional estimation
0 references
high-frequency data
0 references
microstructure noise
0 references
robust measures
0 references
