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)
Karl Lins (University of Utah)
Che-Lin Su (University of Chicago)
Aart Huijg (VU University Amsterdam)
Richard Chisik (Florida International University)
Bartosz Mackowiak (European Central Bank)
Hendrik Vrijburg (EUR)
Jesus Crespo (University of Innsbruck)
Robbert Dittmar (University of Michigan)
Paolo Zeppini (University of Amsterdam)
Marten Palme (University of Stockholm)
Luke Taylor (Wharton School, University of Pennsylvania)
Paula Bustos (Universitat Pompeu Fabbra and CREI)
Markus Kirchner (University of Amsterdam)
Julia Swart (EUR)
Ilias Tsiakas (Warwick Business School)
Weihua Huang (Maastricht)