"Jump robust daily covariance estimation by disentangling variance and ..."

Kris Boudt, Jonathan Cornelissen, Christophe Croux (2012)

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DOI: 10.1016/J.CSDA.2011.05.003

access: closed

type: Journal Article

metadata version: 2022-10-02

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Kris Boudt, Jonathan Cornelissen, Christophe Croux:
Jump robust daily covariance estimation by disentangling variance and correlation components. Comput. Stat. Data Anal. 56(11): 2993-3005 (2012)

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