A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774)
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scientific article; zbMATH DE number 6300649
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data |
scientific article; zbMATH DE number 6300649 |
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A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (English)
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4 June 2014
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high-frequency data
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integrated covariance matrix
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microstructure noises
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quasi-maximum likelihood
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0.92114097
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0.91732675
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0.8927934
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0.88795996
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0.8756842
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0.87300986
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0.8700847
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0.8699738
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