A blocking and regularization approach to high‐dimensional realized covariance estimation

B-Tier
Journal: Journal of Applied Econometrics
Year: 2012
Volume: 27
Issue: 4
Pages: 625-645

Authors (3)

Nikolaus Hautsch (Universität Wien) Lada M. Kyj (not in RePEc) Roel C. A. Oomen (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:wly:japmet:v:27:y:2012:i:4:p:625-645
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25