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  • Search: subject:"Spot volatility matrix"
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Year of publication
Subject
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Brownian semi-martingale 1 Estimation theory 1 Financial market 1 Finanzmarkt 1 Kernel smoothing 1 Market microstructure 1 Marktmikrostruktur 1 Microstructure noise 1 Nichtparametrische Schätzung 1 Nichtparametrisches Verfahren 1 Nonparametric estimation 1 Nonparametric statistics 1 Schätztheorie 1 Sparsity 1 Spot volatility matrix 1 Time series analysis 1 Uniform consistency 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Graue Literatur 1 Non-commercial literature 1
Language
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English 1
Author
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Bu, Ruijun 1 Li, Degui 1 Linton, Oliver 1 Wang, Hanchao 1
Published in...
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Cambridge working papers in economics 1 Janeway Institute working paper series 1
Source
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ECONIS (ZBW) 1
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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun; Li, Degui; Linton, Oliver; Wang, Hanchao - 2022 - This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
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