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Realized mixed-frequency factor models for vast dimensional covariance estimation
Dick van Dijk / Karim Bannouh / Martin P.E. Martens / Roel C. A. Oomen
statisticsResource overview

Realized mixed-frequency factor models for vast dimensional covariance estimation

Paper2012

by Dick van Dijk, Karim Bannouh, Martin P.E. Martens, Roel C. A. Oomen

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