A blocking and regularization approach to high dimensional realized covariance estimation

Citations

Cited by:

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5. Niels S. Grønborg & Asger Lunde & Kasper V. Olesen & Harry Vander Elst, 2018. "Realizing Correlations Across Asset Classes," CREATES Research Papers 2018-37, Department of Economics and Business Economics, Aarhus University.
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13. repec:cte:wsrepe:es142416 is not listed on IDEAS
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