Jump robust daily covariance estimation by disentangling variance and correlation components
Kris Boudt, Jonathan Cornelissen and Christophe Croux
| Year of publication: |
2010
|
|---|---|
| Authors: | Boudt, Kris ; Cornelissen, Jonathan ; Croux, Christophe |
| Publisher: |
Leuven : Katholieke Univ. Leuven, Faculty of Business and Economics |
| Subject: | Korrelation | Correlation | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Robustes Verfahren | Robust statistics | Kapitaleinkommen | Capital income | Schätzung | Estimation | ARCH-Modell | ARCH model |
freely available
| Extent: | Online-Ressource (26 S.) |
|---|---|
| Series: | KBI. - Leuven : [Verlag nicht ermittelbar], ZDB-ID 2397394-8. - Vol. 1024 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008989131