Covariance Matrix Estimation with High Frequency Financial Data
Ph.D
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| 格式: | Theses and Dissertations |
| 語言: | English |
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2013
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| 在線閱讀: | http://scholarbank.nus.edu.sg/handle/10635/43619 |
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| 機構: | National University of Singapore |
| 語言: | English |
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sg-nus-scholar.10635-436192024-10-26T18:18:29Z 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 |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
NUS Library |
| 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_ |
1821195816732196864 |