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Bayesian nonparametric covariance estimation with noisy and
Bayesian nonparametric covariance estimation with noisy and
Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices
This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from high-frequency data.
Related Keywords
Monte Carlo ,
,
Covariance ,
Covariance Matrix ,
Data ,
Bayesian Modelling ,
Original Research ,