Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572)
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scientific article; zbMATH DE number 7482265
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Design-free estimation of integrated covariance matrices for high-frequency data |
scientific article; zbMATH DE number 7482265 |
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Design-free estimation of integrated covariance matrices for high-frequency data (English)
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1 March 2022
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high-dimension
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high-frequency
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integrated covariance matrix
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microstructure noise
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random matrix theory
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0.92114097
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0.9107989
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0.8987201
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0.8788732
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0.87681884
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0.8747133
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0.87121964
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0.8708948
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0.86999047
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