High-dimensional multivariate realized volatility estimation (Q2323370): Difference between revisions
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Revision as of 06:45, 5 March 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)
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2 September 2019
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realized covolatility matrix
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high-dimensional estimation
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high-frequency data
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microstructure noise
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robust measures
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