On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988)
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scientific article; zbMATH DE number 6075592
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the estimation of integrated covariance matrices of high dimensional diffusion processes |
scientific article; zbMATH DE number 6075592 |
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On the estimation of integrated covariance matrices of high dimensional diffusion processes (English)
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3 September 2012
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high frequency
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Marčenko-Pastur equation
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weighted sample covariance matrix
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realized covariance matrix
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