A blocking and regularization approach to high dimensional realized covariance estimation
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
-
Online-Ressource
- Sprache
-
Englisch
- Anmerkungen
-
In: Sonderforschungsbereich 649: Ökonomisches Risiko, Band 2009, Ausgabe 49, 2009
- Klassifikation
-
Wirtschaft
- Ereignis
-
Veröffentlichung
- (wo)
-
Berlin
- (wer)
-
Humboldt-Universität zu Berlin
- (wann)
-
2009
- Urheber
- DOI
-
10.18452/4214
- URN
-
urn:nbn:de:kobv:11-100110776
- Rechteinformation
-
Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
14.08.2025, 10:59 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Hautsch, Nikolaus
- Kyj, Lada M.
- Oomen, Roel C.A.
- Humboldt-Universität zu Berlin
Entstanden
- 2009
Ähnliche Objekte (12)
A blocking and regularization approach to high dimensional realized covariance estimation
A blocking and regularization approach to high dimensional realized covariance estimation
A blocking and regularization approach to high dimensional realized covariance estimation
Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Modelling and Forecasting of Realized Covariance Matrices
Evaluation and error analysis: Kalman gain regularization versus covariance regularization
Dynamic Modelling and Forecasting of Realized Covariance Matrices
Singular conditional autoregressive Wishart model for realized covariance matrices
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
Correction to: An integrated framework for visualizing and forecasting realized covariance matrices
A blocking and regularization approach to high dimensional realized covariance estimation
A blocking and regularization approach to high dimensional realized covariance estimation
A blocking and regularization approach to high dimensional realized covariance estimation
Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Modelling and Forecasting of Realized Covariance Matrices
Evaluation and error analysis: Kalman gain regularization versus covariance regularization
Dynamic Modelling and Forecasting of Realized Covariance Matrices
Singular conditional autoregressive Wishart model for realized covariance matrices
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
Correction to: An integrated framework for visualizing and forecasting realized covariance matrices
A blocking and regularization approach to high dimensional realized covariance estimation
A blocking and regularization approach to high dimensional realized covariance estimation
A blocking and regularization approach to high dimensional realized covariance estimation
Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Modelling and Forecasting of Realized Covariance Matrices
Evaluation and error analysis: Kalman gain regularization versus covariance regularization
Dynamic Modelling and Forecasting of Realized Covariance Matrices
Singular conditional autoregressive Wishart model for realized covariance matrices
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors