Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195)
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scientific article; zbMATH DE number 7407094
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| English | Efficient and positive semidefinite pre-averaging realized covariance estimator |
scientific article; zbMATH DE number 7407094 |
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Efficient and positive semidefinite pre-averaging realized covariance estimator (English)
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6 October 2021
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asynchronous and noisy high-frequency data
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eigenvalue correction
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synchronizing technique
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