Pages that link to "Item:Q2425171"
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The following pages link to Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171):
Displaying 5 items.
- Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index (Q1694509) (← links)
- New evidence on market response to public announcements in the presence of microstructure noise (Q2076860) (← links)
- A new robust Kalman filter for filtering the microstructure noise (Q5351738) (← links)
- An extended sparse max-linear moving model with application to high-frequency financial data (Q5880168) (← links)
- Copula estimation for nonsynchronous financial data (Q6108882) (← links)
