Jump robust daily covariance estimation by disentangling variance and correlation components

K.M.R. Boudt, J. Cornelissen, C. Croux

Research output: Contribution to JournalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)2993-3005
JournalComputational Statistics and Data Analysis
Volume56
Issue number11
DOIs
Publication statusPublished - 2012

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