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~person:"Kyj, Lada M."
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regularization
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Kyj, Lada M.
Carrasco, Marine
17
Florens, Jean-Pierre
13
Hautsch, Nikolaus
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Chernozhukov, Victor
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Tchuente, Guy
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Koné, N'Golo
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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1
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Malec, Peter
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2013
a blocked realized kernel estimator, different smoothing windows, various
regularization
methods and two forecasting …
Persistent link: https://www.econbiz.de/10010617848
Saved in:
2
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Malec, Peter
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 263-290
Persistent link: https://www.econbiz.de/10011327609
Saved in:
3
A blocking and
regularization
approach to high dimensional realized covariance estimation
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Hautsch, Nikolaus
-
Center for Financial Studies
-
2009
We introduce a
regularization
and blocking estimator for well-conditioned high-dimensional daily covariances using high …
Persistent link: https://www.econbiz.de/10010958683
Saved in:
4
A blocking and
regularization
approach to high dimensional realized covariance estimation
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Oomen, Roel C.A.
-
2009
We introduce a
regularization
and blocking estimator for well-conditioned high-dimensional daily covariances using high …
Persistent link: https://www.econbiz.de/10010270808
Saved in:
5
A blocking and
regularization
approach to high dimensional realized covariance estimation
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Hautsch, Nikolaus
-
2009
We introduce a
regularization
and blocking estimator for well-conditioned high-dimensional daily covariances using high …
Persistent link: https://www.econbiz.de/10010303678
Saved in:
6
A blocking and
regularization
approach to high dimensional realized covariance estimation
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Oomen, Roel C.A.
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
We introduce a
regularization
and blocking estimator for well-conditioned high-dimensional daily covariances using high …
Persistent link: https://www.econbiz.de/10008477173
Saved in:
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