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High-frequency Covariance Matrix Estimation Usi...
Research
Research at Lancaster
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Accounting and Finance
Associated organisational units
Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Asset Pricing and Financial Econometrics
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https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3162514
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High-frequency Covariance Matrix Estimation Using Price Durations
Research output
:
Working paper
Published
Overview
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Ingmar Nolte
Stephen John Taylor
Xiaolu Zhao
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Publication date
2018
<mark>Original language</mark>
English