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)
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 124982
Deposited By: ep_importer_pure
Deposited On: 02 May 2018 15:24
Refereed?: No
Published?: Published
Last Modified: 26 Nov 2019 01:43
URI: https://eprints.lancs.ac.uk/id/eprint/124982

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