Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
Crossref DOI link: https://doi.org/10.1007/s13160-017-0266-8
Published Online: 2017-08-06
Published Print: 2017-11
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Liu, Nien-Lin
Ngo, Hoang-Long
Funding for this research was provided by:
Japan Society for the Promotion of Science (JP) (25780213)
License valid from 2017-08-06