ETF basket-adjusted covariance estimation (Q6108294)
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scientific article; zbMATH DE number 7704487
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ETF basket-adjusted covariance estimation |
scientific article; zbMATH DE number 7704487 |
Statements
ETF basket-adjusted covariance estimation (English)
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29 June 2023
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high-frequency data
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realized covariances
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ETF
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asynchronicity
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stock-ETF covariation
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localized Hayashi-Yoshida
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index tracking
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