Jump robust daily covariance estimation by disentangling variance and correlation components
From MaRDI portal
Publication:1927084
DOI10.1016/j.csda.2011.05.003zbMath1254.91565OpenAlexW3122486238MaRDI QIDQ1927084
Christophe Croux, Jonathan Cornelissen, Leopoldo Catania
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/280322
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Uses Software
Cites Work
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