scholarly journals Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation

2012 ◽  
Author(s):  
Fulvio Corsi ◽  
Stefano Peluso ◽  
Francesco Audrino
Keyword(s):  
Covariance Estimation ◽  
Realized Covariance

scholarly journals A blocking and regularization approach to high-dimensional realized covariance estimation

2010 ◽  
Vol 27 (4) ◽  
pp. 625-645 ◽  
Author(s):  
Nikolaus Hautsch ◽  
Lada M. Kyj ◽  
Roel C. A. Oomen
Keyword(s):  
Covariance Estimation ◽  
High Dimensional ◽  
Realized Covariance

scholarly journals Missing in Asynchronicity: A Kalman-em Approach for Multivariate Realized Covariance Estimation

2014 ◽  
Vol 30 (3) ◽  
pp. 377-397 ◽  
Author(s):  
Fulvio Corsi ◽  
Stefano Peluso ◽  
Francesco Audrino
Keyword(s):  
Covariance Estimation ◽  
Realized Covariance

Structured Robust Covariance Estimation

2015 ◽  
Author(s):  
Ami Wiesel ◽  
Teng Zhang
Keyword(s):  
Covariance Estimation
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