EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"forecasting covariance matrix"
Narrow search

Narrow search

Year of publication
Subject
All
forecasting covariance matrix 1 high-frequency data 1 jump 1 kernel estimation 1
Online availability
All
Free 1
Type of publication
All
Book / Working Paper 1
Type of publication (narrower categories)
All
Working Paper 1
Language
All
English 1
Author
All
Mustafayeva, Konul 1 Wang, Weining 1
Published in...
All
IRTG 1792 Discussion Paper 1
Source
All
EconStor 1
Showing 1 - 1 of 1
Cover Image
Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data
Mustafayeva, Konul; Wang, Weining - 2020
Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency nancial data. We study the estimation of spot covariance using a kernel method for high-frequency data. In particular, we consider rst the kernel weighted version of realized...
Persistent link: https://www.econbiz.de/10012433269
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...