Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
Crossref DOI link: https://doi.org/10.1007/s10107-019-01371-6
Published Online: 2019-02-14
Published Print: 2019-07
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Ho, Michael
Xin, Jack
Funding for this research was provided by:
National Science Foundation (IIS-1632935, DMS-1522383)
Text and Data Mining valid from 2019-02-14
Version of Record valid from 2019-02-14
Article History
Received: 8 November 2017
Accepted: 5 February 2019
First Online: 14 February 2019