Jump robust daily covariance estimation by disentangling variance and correlation components
نویسندگان
چکیده
منابع مشابه
Jump robust daily covariance estimation by disentangling variance and correlation components
We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix using intraday returns. It disentangles covariance estimation into variance and correlation components, allowing to estimate correlations over lower sampling frequencies to account for non-synchronous trading. The efficiency gain of disentangling covariance estimation and the jump robustness of t...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2012
ISSN: 0167-9473
DOI: 10.1016/j.csda.2011.05.003