Efficient and positive semidefinite pre-averaging realized covariance estimator
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Publication:5155195
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Cites work
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
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Cited in
(4)- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Optimal nonnegative definite approximations of estimated moving average covariance sequences
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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