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~person:"Kyj, Lada M."
~subject:"Schätzung"
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Kyj, Lada M.
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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:
2
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:
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