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Multivariate dynamic intensity peaks‐over‐threshold models
Hautsch, Nikolaus; Herrera, Rodrigo - In: Journal of Applied Econometrics 35 (2019) 2, pp. 248-272
Persistent link: https://www.econbiz.de/10012082875
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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/10011198395
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A blocking and regularization approach to high‐dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C. A. - In: Journal of Applied Econometrics 27 (2012) 4, pp. 625-645
Persistent link: https://www.econbiz.de/10011006423