covariance estimation
| Title: | covariance estimation |
|---|---|
| Authors: | Nikolaus Hautsch; Lada M. Kyj; Roel C. A. Oomen; Jel Classification C |
| Contributors: | The Pennsylvania State University CiteSeerX Archives |
| Source: | http://www.ecares.org/ecaresdocuments/seminars0910/kyj.pdf. |
| Publication Year: | 2009 |
| Collection: | CiteSeerX |
| Subject Terms: | covariance estimation; blocking; realized kernel; regularization; microstructure; asynchronous trading |
| Description: | blocking and regularization approach to high dimensional realized |
| Document Type: | text |
| File Description: | application/pdf |
| Language: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.332.3463; http://www.ecares.org/ecaresdocuments/seminars0910/kyj.pdf |
| Availability: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.332.3463; http://www.ecares.org/ecaresdocuments/seminars0910/kyj.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: | edsbas.8704A59D |
| Database: | BASE |