High-dimensional multivariate realized volatility estimation (Q2323370)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional multivariate realized volatility estimation |
scientific article |
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High-dimensional multivariate realized volatility estimation (English)
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2 September 2019
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realized covolatility matrix
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high-dimensional estimation
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high-frequency data
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microstructure noise
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robust measures
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