Matches in SemOpenAlex for { <https://semopenalex.org/work/W3126026393> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W3126026393 abstract "We introduce a blocking and regularization approach to estimate high-dimensional covariances using high frequency data. Assets are first grouped according to liquidity. Using the multivariate realized kernel estimator of Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a), the covariance matrix is estimated block-wise and then regularized. The performance of the resulting blocking and regularization (RnB) estimator is analyzed in an extensive simulation study mimicking the liquidity and market microstructure features of the S&P 1500 universe. The RnB estimator yields efficiency gains for varying liquidity settings, noise-to-signal ratios, and dimensions. An empirical application of estimating daily covariances of the S&P 500 index confirms the simulation results." @default.
- W3126026393 created "2021-02-01" @default.
- W3126026393 creator A5021338864 @default.
- W3126026393 creator A5053452059 @default.
- W3126026393 creator A5082318847 @default.
- W3126026393 date "2010-08-01" @default.
- W3126026393 modified "2023-09-26" @default.
- W3126026393 title "A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation" @default.
- W3126026393 cites W2041865734 @default.
- W3126026393 cites W2049755890 @default.
- W3126026393 cites W2066600966 @default.
- W3126026393 cites W2091786408 @default.
- W3126026393 cites W2095533672 @default.
- W3126026393 cites W2127009028 @default.
- W3126026393 cites W2158118952 @default.
- W3126026393 cites W2170617012 @default.
- W3126026393 cites W3122460575 @default.
- W3126026393 cites W3123739148 @default.
- W3126026393 cites W3124549360 @default.
- W3126026393 hasPublicationYear "2010" @default.
- W3126026393 type Work @default.
- W3126026393 sameAs 3126026393 @default.
- W3126026393 citedByCount "13" @default.
- W3126026393 countsByYear W31260263932012 @default.
- W3126026393 countsByYear W31260263932013 @default.
- W3126026393 countsByYear W31260263932014 @default.
- W3126026393 countsByYear W31260263932015 @default.
- W3126026393 crossrefType "posted-content" @default.
- W3126026393 hasAuthorship W3126026393A5021338864 @default.
- W3126026393 hasAuthorship W3126026393A5053452059 @default.
- W3126026393 hasAuthorship W3126026393A5082318847 @default.
- W3126026393 hasConcept C10138342 @default.
- W3126026393 hasConcept C102592046 @default.
- W3126026393 hasConcept C105795698 @default.
- W3126026393 hasConcept C144745244 @default.
- W3126026393 hasConcept C149782125 @default.
- W3126026393 hasConcept C154945302 @default.
- W3126026393 hasConcept C162324750 @default.
- W3126026393 hasConcept C165646398 @default.
- W3126026393 hasConcept C178650346 @default.
- W3126026393 hasConcept C183582576 @default.
- W3126026393 hasConcept C185142706 @default.
- W3126026393 hasConcept C185429906 @default.
- W3126026393 hasConcept C191393472 @default.
- W3126026393 hasConcept C2776135515 @default.
- W3126026393 hasConcept C28826006 @default.
- W3126026393 hasConcept C33923547 @default.
- W3126026393 hasConcept C41008148 @default.
- W3126026393 hasConceptScore W3126026393C10138342 @default.
- W3126026393 hasConceptScore W3126026393C102592046 @default.
- W3126026393 hasConceptScore W3126026393C105795698 @default.
- W3126026393 hasConceptScore W3126026393C144745244 @default.
- W3126026393 hasConceptScore W3126026393C149782125 @default.
- W3126026393 hasConceptScore W3126026393C154945302 @default.
- W3126026393 hasConceptScore W3126026393C162324750 @default.
- W3126026393 hasConceptScore W3126026393C165646398 @default.
- W3126026393 hasConceptScore W3126026393C178650346 @default.
- W3126026393 hasConceptScore W3126026393C183582576 @default.
- W3126026393 hasConceptScore W3126026393C185142706 @default.
- W3126026393 hasConceptScore W3126026393C185429906 @default.
- W3126026393 hasConceptScore W3126026393C191393472 @default.
- W3126026393 hasConceptScore W3126026393C2776135515 @default.
- W3126026393 hasConceptScore W3126026393C28826006 @default.
- W3126026393 hasConceptScore W3126026393C33923547 @default.
- W3126026393 hasConceptScore W3126026393C41008148 @default.
- W3126026393 hasLocation W31260263931 @default.
- W3126026393 hasOpenAccess W3126026393 @default.
- W3126026393 hasPrimaryLocation W31260263931 @default.
- W3126026393 hasRelatedWork W1497894518 @default.
- W3126026393 hasRelatedWork W1527581642 @default.
- W3126026393 hasRelatedWork W1577744264 @default.
- W3126026393 hasRelatedWork W2038387735 @default.
- W3126026393 hasRelatedWork W2049755890 @default.
- W3126026393 hasRelatedWork W2094859553 @default.
- W3126026393 hasRelatedWork W2118950007 @default.
- W3126026393 hasRelatedWork W2150690316 @default.
- W3126026393 hasRelatedWork W2151726729 @default.
- W3126026393 hasRelatedWork W2164933380 @default.
- W3126026393 hasRelatedWork W2170617012 @default.
- W3126026393 hasRelatedWork W2513545599 @default.
- W3126026393 hasRelatedWork W2919239322 @default.
- W3126026393 hasRelatedWork W2944866283 @default.
- W3126026393 hasRelatedWork W2957414787 @default.
- W3126026393 hasRelatedWork W3121712371 @default.
- W3126026393 hasRelatedWork W3123739148 @default.
- W3126026393 hasRelatedWork W3124016026 @default.
- W3126026393 hasRelatedWork W3127922545 @default.
- W3126026393 hasRelatedWork W3140947791 @default.
- W3126026393 isParatext "false" @default.
- W3126026393 isRetracted "false" @default.
- W3126026393 magId "3126026393" @default.
- W3126026393 workType "article" @default.