Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Jump robust daily covariance estimation by disentangling variance and correlation components |
scientific article; zbMATH DE number 6119734
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump robust daily covariance estimation by disentangling variance and correlation components |
scientific article; zbMATH DE number 6119734 |
Statements
Jump robust daily covariance estimation by disentangling variance and correlation components (English)
0 references
30 December 2012
0 references
high-frequency data
0 references
integrated covariance
0 references
jumps
0 references
non-synchronous trading
0 references
realized covariance
0 references
0 references
0 references
0 references
0 references
