Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171)
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scientific article; zbMATH DE number 7073550
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| English | Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data |
scientific article; zbMATH DE number 7073550 |
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Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (English)
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26 June 2019
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spike and slab
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ECM
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Kalman filtering
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\(\ell _{1}\) regularization
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0.7775261998176575
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0.7733787298202515
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0.7626172304153442
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0.7546462416648865
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0.7544987797737122
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