A state space model approach to integrated covariance matrix estimation with high frequency data (Q896584)
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scientific article; zbMATH DE number 6518705
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| English | A state space model approach to integrated covariance matrix estimation with high frequency data |
scientific article; zbMATH DE number 6518705 |
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A state space model approach to integrated covariance matrix estimation with high frequency data (English)
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10 December 2015
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EM algorithm
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high frequency data
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integrated covariance matrix
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Kalman filter
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microstructure noise
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missing data
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quasi-maximum likelihood
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state space model
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0.8090423345565796
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0.8020866513252258
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0.7972205281257629
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0.7925406098365784
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0.7891996502876282
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