Open AccessJump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components
Publication year - 2010
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1713646
Subject(s) - covariance , jump , correlation , variance components , variance (accounting) , statistics , covariance matrix , mathematics , econometrics , estimation , covariance intersection , estimation of covariance matrices , economics , physics , geometry , accounting , management , quantum mechanics
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