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Estimating correlation and covariance matrices by weighting of market similarity
Weighted Correlation Estimation Covariance Estimation Time-dynamic Dependence
2010/10/20
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of previous market co...
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Covariance Generalized synchronization method Market microstructure noise Quasi-Maximum Likelihood Estimator Refresh Time.
2014/3/13
This article proposes a consistent and efficient estimator of the high-frequency covariance (quadratic covariation) of two arbitrary assets,observed asynchronously with market microstructure noise. Th...