Efficient and positive semidefinite pre-averaging realized covariance estimator
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Publication:5155195
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
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Analysis of variance and covariance (ANOVA) (62J10)
Uses Software
Cites Work
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