Realized mixed-frequency factor models for vast dimensional covariance estimation

Research output: Working paper › Academic

Original language	Undefined/Unknown
Place of Publication	Rotterdam
Publisher	Erasmus Research Institute of Management (ERIM)
Publication status	Published - 2012

Research programs

@techreport{ae22f1e71b3c40cbb4667cc490785761,

title = "Realized mixed-frequency factor models for vast dimensional covariance estimation",

author = "Bannouh, \{K (Karim)\} and MPE Martens and RCA Oomen and \{van Dijk\}, Dick",

year = "2012",

language = "Undefined/Unknown",

publisher = "Erasmus Research Institute of Management (ERIM)",

address = "Netherlands",

type = "WorkingPaper",

institution = "Erasmus Research Institute of Management (ERIM)",

}

TY - UNPB

T1 - Realized mixed-frequency factor models for vast dimensional covariance estimation

AU - Bannouh, K (Karim)

AU - Martens, MPE

AU - Oomen, RCA

AU - van Dijk, Dick

PY - 2012

Y1 - 2012

M3 - Working paper

BT - Realized mixed-frequency factor models for vast dimensional covariance estimation

PB - Erasmus Research Institute of Management (ERIM)

CY - Rotterdam

ER -