High-dimensional realized covariance estimation : a parametric approach

G. Buccheri and G. Mboussa Anga

Year of publication:	2022
Authors:	Buccheri, G. ; Mboussa Anga, G.
Subject:	Epps effect \| High-dimensions \| Realized covariance \| Risk management \| Korrelation \| Correlation \| Varianzanalyse \| Analysis of variance \| Risikomanagement \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Kapitaleinkommen \| Capital income \| Marktmikrostruktur \| Market microstructure \| Monte-Carlo-Simulation \| Monte Carlo simulation

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