On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279)
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| Language | Label | Description | Also known as |
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| English | On a spiked model for large volatility matrix estimation from noisy high-frequency data |
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On a spiked model for large volatility matrix estimation from noisy high-frequency data (English)
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2 November 2018
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integrated covariance matrix
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pre-averaging
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random matrix theory
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spiked covariance matrix
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