Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations (Q2657980)
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| Language | Label | Description | Also known as |
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| English | Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations |
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Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations (English)
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18 March 2021
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integrated covariance matrix
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high-dimensional
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multiple transactions
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nonlinear shrinkage
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random matrix theory
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