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)
Erik Kole (ESE, EUR)
Lily Fang (INSEAD)
Peter C. Smith (Imperial College London)
Richard Chisik (Florida International University)
Hendrik Vrijburg (EUR)
Jesus Crespo (University of Innsbruck)
Robbert Dittmar (University of Michigan)
Paula Bustos (Universitat Pompeu Fabbra and CREI)
Julia Swart (EUR)
Ilias Tsiakas (Warwick Business School)
Weihua Huang (Maastricht)
Tim Jenkinson (Said Business School at Oxford University)
Hugh Gravelle (University of York)
Hylke Vandenbussche (Univ. Catholique de Louvain)
Jan Eeckhout, University of Pennsylvania, and NYU Stern (Coauthor P. Kircher)
Nalan Basturk (EUR)
Lauren Cohen (Harvard Business School)
Bart Voogt (EUR)
Teresa Bago d'Uva (Erasmus School of Economics)