Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (Q4569339)
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scientific article; zbMATH DE number 6897184
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data |
scientific article; zbMATH DE number 6897184 |
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Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (English)
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28 June 2018
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high-frequency data
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volatility estimation
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microstructure noise
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