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Search: subject:"integrated covariance matrix"
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Analysis of variance
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Liu, Cheng
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Journal of econometrics
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1
Estimation of
integrated
covariance
matrix
using high-frequency data with applications in portfolio choice
Liu, Cheng
- In:
Financial econometrics : theory and applications
,
(pp. 235-268)
.
2025
Persistent link: https://www.econbiz.de/10015426498
Saved in:
2
A nonparametric eigenvalue-regularized
integrated
covariance
matrix
estimator for asset return data
Lam, Clifford
;
Feng, Phoenix
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
Saved in:
3
A quasi-maximum likelihood approach for
integrated
covariance
matrix
estimation with high frequency data
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of Econometrics
180
(
2014
)
2
,
pp. 217-232
Estimating the
integrated
covariance
matrix
(ICM) from high frequency financial trading data is crucial to reflect the …
Persistent link: https://www.econbiz.de/10010776916
Saved in:
4
A quasi-maximum likelihood approach for
integrated
covariance
matrix
estimation with high frequency data
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of econometrics
180
(
2014
)
2
,
pp. 217-232
Persistent link: https://www.econbiz.de/10010433385
Saved in:
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