A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation
Nikolaus Hautsch (Humboldt-Universitaet zu Berlin)
- Seminars Econometric Institute
Nikolaus Hautsch (Humboldt-Universitaet zu Berlin)
Gunter Maris (University of Amsterdam, and CITO)
Dagfinn Rime (Norges Bank)
Aviv Nevo (Northwestern University)
Jan Groen (Federal Reserve Bank of New York)
Gerdie Everaert, Ghent University
OPERATIONS RESEARCH & HEALTH CARE (17 - 18 November)