Covariance Matrix Estimation with High Frequency Financial Data

Ph.D

Saved in:

Bibliographic Details
Main Author:	LIU CHENG
Other Authors:	STATISTICS & APPLIED PROBABILITY
Format:	Theses and Dissertations
Language:	English
Published:	2013
Subjects:	High frequency data; Integrated covariance matrix; Microstructure noise; Quasi-maximum likelihood; Kalman filter; Asynchronous data
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/43619
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	National University of Singapore
Language:	English

id	sg-nus-scholar.10635-43619
record_format	dspace
spelling	sg-nus-scholar.10635-436192015-01-15T08:57:51Z Covariance Matrix Estimation with High Frequency Financial Data LIU CHENG STATISTICS & APPLIED PROBABILITY TANG CHENGYONG High frequency data; Integrated covariance matrix; Microstructure noise; Quasi-maximum likelihood; Kalman filter; Asynchronous data Ph.D DOCTOR OF PHILOSOPHY 2013-08-31T18:02:22Z 2013-08-31T18:02:22Z 2013-05-14 Thesis LIU CHENG (2013-05-14). Covariance Matrix Estimation with High Frequency Financial Data. ScholarBank@NUS Repository. http://scholarbank.nus.edu.sg/handle/10635/43619 NOT_IN_WOS en
institution	National University of Singapore
building	NUS Library
country	Singapore
collection	ScholarBank@NUS
language	English
topic	High frequency data; Integrated covariance matrix; Microstructure noise; Quasi-maximum likelihood; Kalman filter; Asynchronous data
spellingShingle	High frequency data; Integrated covariance matrix; Microstructure noise; Quasi-maximum likelihood; Kalman filter; Asynchronous data LIU CHENG Covariance Matrix Estimation with High Frequency Financial Data
description	Ph.D
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY LIU CHENG
format	Theses and Dissertations
author	LIU CHENG
author_sort	LIU CHENG
title	Covariance Matrix Estimation with High Frequency Financial Data
title_short	Covariance Matrix Estimation with High Frequency Financial Data
title_full	Covariance Matrix Estimation with High Frequency Financial Data
title_fullStr	Covariance Matrix Estimation with High Frequency Financial Data
title_full_unstemmed	Covariance Matrix Estimation with High Frequency Financial Data
title_sort	covariance matrix estimation with high frequency financial data
publishDate	2013
url	http://scholarbank.nus.edu.sg/handle/10635/43619
_version_	1681082794920378368

Covariance Matrix Estimation with High Frequency Financial Data

Similar Items