Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data

DOI10.1007/S10107-019-01371-6zbMath1458.62245arXiv1602.02185OpenAlexW3105723489WikidataQ128368258 ScholiaQ128368258MaRDI QIDQ2425171

Michael Ho, Jack X. Xin

Publication date: 26 June 2019

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.02185

zbMATH Keywords

Kalman filteringECMspike and slab\(\ell _{1}\) regularization

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Copula estimation for nonsynchronous financial data ⋮ New evidence on market response to public announcements in the presence of microstructure noise

Uses Software

• astsa

Cites Work

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