A blocking and regularization approach to high-dimensional realized covariance estimation

Nikolaus Hautsch, Lada M. Kyj and Roel C. A. Oomen

Year of publication:	2012
Authors:	Hautsch, Nikolaus ; Kyj, Lada M. ; Oomen, Roel C. A.
Published in:	Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 27.2012, 4, p. 625-645
Subject:	Schätztheorie \| Estimation theory \| Varianzanalyse \| Analysis of variance \| Korrelation \| Correlation \| Schätzung \| Estimation \| Marktmikrostruktur \| Market microstructure \| Multivariate Analyse \| Multivariate analysis \| Börsenkurs \| Share price \| Wertpapierhandel \| Securities trading \| Aktienmarkt \| Stock market

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