On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988)
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scientific article; zbMATH DE number 6075592
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| English | On the estimation of integrated covariance matrices of high dimensional diffusion processes |
scientific article; zbMATH DE number 6075592 |
Statements
On the estimation of integrated covariance matrices of high dimensional diffusion processes (English)
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3 September 2012
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high frequency
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Marčenko-Pastur equation
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weighted sample covariance matrix
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realized covariance matrix
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0.8341223001480103
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0.822169303894043
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0.8050862550735474
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0.8043047189712524
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0.8007870316505432
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