A blocking and regularization approach to high‐dimensional realized covariance estimation

Nikolaus Hautsch, Lada M. Kyj and Roel C. A. Oomen

Journal of Applied Econometrics, 2012, vol. 27, issue 4, 625-645

Date: 2012
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http://hdl.handle.net/10.1002/jae.1218

Related works:
Working Paper: A blocking and regularization approach to high dimensional realized covariance estimation (2009)
Working Paper: A blocking and regularization approach to high dimensional realized covariance estimation (2009)
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