High-frequency Covariance Matrix Estimation Using Price Durations

Nolte, Ingmar and Taylor, Stephen John and Zhao, Xiaolu (2018) High-frequency Covariance Matrix Estimation Using Price Durations. Working Paper. UNSPECIFIED.

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Item Type:
Monograph (Working Paper)
ID Code:
124982
Deposited By:
Deposited On:
02 May 2018 15:24
Refereed?:
No
Published?:
Published
Last Modified:
25 May 2020 23:55