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Kyj, Lada M.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
908 |
Total
Citations
13 |
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1.
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Kyj, Lada M.
Humboldt University of Berlin Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business Ensor, Katherine
Rice University - George R. Brown School of Engineering
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22 Mar 09
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Last Revised:
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17 Oct 09
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457
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3
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Factor Model, Realized Covariance, Volatilty Timing
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2.
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Hautsch, Nikolaus
Humboldt-Universität zu Berlin Kyj, Lada M.
Humboldt University of Berlin Oomen, Roel C. A.
Deutsche Bank AG
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18 Oct 09
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Last Revised:
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22 Aug 10
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197
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covariance estimation, blocking, realized kernel, regularization, microstructure noise, asynchronous trading
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3.
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Hautsch, Nikolaus
Humboldt-Universität zu Berlin Kyj, Lada M.
Humboldt University of Berlin Malec, Peter
Humboldt Universität zu Berlin
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168
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2
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spectral decomposition, mixing frequencies, factor model, blocked realized kernel, covariance prediction, portfolio optimization
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4.
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Hautsch, Nikolaus
Humboldt-Universität zu Berlin Kyj, Lada M.
Humboldt University of Berlin Malec, Peter
Humboldt Universität zu Berlin
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86
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portfolio optimization, spectral decomposition, regularization, blocked realized kernel, covariance prediction
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Records 1 -
4
of 4 matches
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1
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