Open AccessPositive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
Author(s) -
Kris Boudt,
Sébastien Laurent,
Asger Lunde,
Rogier Quaedvlieg,
Orimar Sauri
Publication year - 2014
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2383871
Subject(s) - cholesky decomposition , estimator , covariance matrix , positive definite matrix , mathematics , covariance , portfolio , econometrics , monte carlo method , statistics , economics , eigenvalues and eigenvectors , financial economics , physics , quantum mechanics
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