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Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches (2011)

First Author: Tao M

Attributed to: High-Dimensional Time Series, Common Factors, and Nonstationarity funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1198/jasa.2011.tm10276

Publication URI: http://dx.doi.org/10.1198/jasa.2011.tm10276

Type: Journal Article/Review

Parent Publication: Journal of the American Statistical Association

Issue: 495