Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Year of publication: |
2007
|
---|---|
Authors: | Hautsch, Nikolaus |
Institutions: | Center for Financial Studies |
Subject: | Multiplicative Error Models | Common Factor | Efficient Importance Sampling | Intraday Trading Process |
-
Hautsch, Nikolaus, (2007)
-
Hautsch, Nikolaus, (2007)
-
Hautsch, Nikolaus, (2007)
- More ...
-
A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus, (2009)
-
Hautsch, Nikolaus, (2007)
-
Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
Härdle, Wolfgang Karl, (2009)
- More ...