High-dimensional multivariate realized volatility estimation
Tim Bollerslev, Nour Meddahi, Serge Nyawa
| Year of publication: |
2019
|
|---|---|
| Authors: | Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 212.2019, 1, p. 116-136
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| Subject: | High-dimensional estimation | High-frequency data | Microstructure noise | Realized covolatility matrix | Robust measures | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Noise Trading | Noise trading | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.04.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012303903