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