Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
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Publication:2425171
DOI10.1007/s10107-019-01371-6zbMath1458.62245arXiv1602.02185OpenAlexW3105723489WikidataQ128368258 ScholiaQ128368258MaRDI QIDQ2425171
Publication date: 26 June 2019
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.02185
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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