A blocking and regularization approach to high dimensional realized covariance estimation
Year of publication: |
2009
|
---|---|
Authors: | Hautsch, Nikolaus ; Kyj, Lada M. ; Hautsch, Nikolaus |
Institutions: | Center for Financial Studies |
Subject: | Covariance Estimation | Blocking | Realized Kernel | Regularization | Microstructure | Asynchronous Trading |
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