High-dimensional realized covariance estimation: a parametric approach (Q5051983)
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scientific article; zbMATH DE number 7620645
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| English | High-dimensional realized covariance estimation: a parametric approach |
scientific article; zbMATH DE number 7620645 |
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High-dimensional realized covariance estimation: a parametric approach (English)
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18 November 2022
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realized covariance
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risk management
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high-dimensions
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epps effect
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0.93492174
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0.90645945
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0.90514016
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0.9037061
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0.9028553
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0.8982263
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0.89683783
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0.8962368
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