Robust covariance estimation with noisy high-frequency financial data

Article Properties
Journal Categories
Science
Mathematics
Science
Mathematics
Probabilities
Mathematical statistics
You May Also Like
Refrences
Title Journal Journal Categories Citations Publication Date
10.1214/11-AIHP454 2012
10.1214/11-AIHP454 Journal of Machine Learning Research
  • Technology: Mechanical engineering and machinery
  • Science: Mathematics: Instruments and machines: Electronic computers. Computer science
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Science: Mathematics: Instruments and machines: Electronic computers. Computer science
 2018
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data SSRN Electronic Journal 5 2021
A Tale of Two Time Scales Journal of the American Statistical Association
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 1,120 2005
Estimating covariation: Epps effect, microstructure noise Journal of Econometrics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 223 2011