Jump robust daily covariance estimation by disentangling variance and correlation components
type: Item
instance of: scholarly article
title: Jump robust daily covariance estimation by disentangling variance and correlation components
zbMATH Open document ID: 1254.91565
author: Jonathan Cornelissen
author: Christophe Croux
author: Leopoldo Catania
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
full work available at URL: https://lirias.kuleuven.be/handle/123456789/280322
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 6119734
zbMATH Keywords: high-frequency data
zbMATH Keywords: integrated covariance
zbMATH Keywords: jumps
zbMATH Keywords: non-synchronous trading
zbMATH Keywords: realized covariance
describes a project that uses: RTAQ
MaRDI profile type: Publication
OpenAlex ID: W3122486238
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DOI: 10.1016/J.CSDA.2011.05.003
description: scientific article; zbMATH DE number 6119734