Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (Q4569339)
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scientific article; zbMATH DE number 6897184
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| English | Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data |
scientific article; zbMATH DE number 6897184 |
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Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (English)
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28 June 2018
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high-frequency data
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volatility estimation
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microstructure noise
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0.8654617071151733
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0.8638278841972351
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0.8625948429107666
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0.8517772555351257
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0.8503922820091248
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