Efficient and positive semidefinite pre-averaging realized covariance estimator

Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (2)

Optimal nonnegative definite approximations of estimated moving average covariance sequences
HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES

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