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High-frequency Covariance Matrix Estimation Using Price Durations

Research output: Working paper

Published

Standard

High-frequency Covariance Matrix Estimation Using Price Durations. / Nolte, Ingmar; Taylor, Stephen John; Zhao, Xiaolu.
2018.

Research output: Working paper

Harvard

Nolte, I, Taylor, SJ & Zhao, X 2018 'High-frequency Covariance Matrix Estimation Using Price Durations'. <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3162514>

APA

Nolte, I., Taylor, S. J., & Zhao, X. (2018). High-frequency Covariance Matrix Estimation Using Price Durations. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3162514

Vancouver

Nolte I, Taylor SJ, Zhao X. High-frequency Covariance Matrix Estimation Using Price Durations. 2018.

Author

Nolte, Ingmar ; Taylor, Stephen John ; Zhao, Xiaolu. / High-frequency Covariance Matrix Estimation Using Price Durations. 2018.

Bibtex

@techreport{6017b0b4f94f443593d83811cb024b6b,
title = "High-frequency Covariance Matrix Estimation Using Price Durations",
author = "Ingmar Nolte and Taylor, {Stephen John} and Xiaolu Zhao",
year = "2018",
language = "English",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - High-frequency Covariance Matrix Estimation Using Price Durations

AU - Nolte, Ingmar

AU - Taylor, Stephen John

AU - Zhao, Xiaolu

PY - 2018

Y1 - 2018

M3 - Working paper

BT - High-frequency Covariance Matrix Estimation Using Price Durations

ER -