Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
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Publication:4569339
DOI10.1142/S2010326318500053zbMath1395.62324MaRDI QIDQ4569339
Xiaochao Xia, Guoliang Zhou, Zhi Liu
Publication date: 28 June 2018
Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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