Efficient and positive semidefinite pre-averaging realized covariance estimator

DOI10.5705/ss.202017.0489zbMath1475.62169OpenAlexW3037309059MaRDI QIDQ5155195

Liang-Ching Lin, Ying Chen, Guangming Pan, Vladimir Spokoiny

Publication date: 6 October 2021

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202017.0489

zbMATH Keywords

asynchronous and noisy high-frequency dataeigenvalue correctionsynchronizing technique

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Analysis of variance and covariance (ANOVA) (62J10)

Uses Software

• QRM

Cites Work

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