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A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data - MaRDI portal

A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data

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Publication:6620901

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DOI10.1080/07350015.2020.1868301zbMath1547.62928MaRDI QIDQ6620901

Wen Xu, Yucheng Sun

Publication date: 17 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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