Robust estimation of a high-dimensional integrated covariance matrix (Q2974915)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust estimation of a high-dimensional integrated covariance matrix |
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Robust estimation of a high-dimensional integrated covariance matrix (English)
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11 April 2017
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high-dimensional matrix
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high-frequency data
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market microstructure noise
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realized covariance
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Tracy-Widom law
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