Work

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Year: 2014

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.2383871

Authors: Kris Boudt, SSbastien Laurent, Asger Lunde, Rogier Quaedvlieg

Institutions: Vrije Universiteit Brussel, Ghent University, Vrije Universiteit Amsterdam, Centre National de la Recherche Scientifique, Aix-Marseille Université, Aix-Marseille Sciences Economiques, École des hautes études en sciences sociales, Aarhus University, Erasmus University Rotterdam

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Danmarks Grundforskningsfond, Nederlandse Organisatie voor Wetenschappelijk Onderzoek

Awards: Center for Research in Econometric Analysis of Time Series (CREATES), G7260019780

OpenAlex ID: W3125986010

Cites: 70

Cited by: 11

Related to: 10