"Sparse Kalman filtering approaches to realized covariance estimation from ..."

Michael Ho, Jack Xin (2019)

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DOI: 10.1007/S10107-019-01371-6

access: closed

type: Journal Article

metadata version: 2019-06-14

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Michael Ho, Jack Xin:
Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data. Math. Program. 176(1-2): 247-278 (2019)

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