Modeling multivariate volatility using wavelet-based realized covariance estimator

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SYSNO	0368270
Title	Modeling multivariate volatility using wavelet-based realized covariance estimator
Author(s)	Baruník, Jozef (UTIA-B) [E]_{RID, ORCID} Vácha, Lukáš (UTIA-B) [E]_RID
Source Title	Mathematical Methods in Economics 2011. S. 29-34. - Prague : Proffesional publishing, 2011
Conference	Mathematical Methods in Economics 2011, Janská Dolina, 06.09.2011-09.09.2011
Document Type	Konferenční příspěvek (zahraniční konf.)
Grant	GAP402/10/1610 GA ČR - Czech Science Foundation (CSF)
	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
	GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Language	eng
Country	CZ
Keywords	multivariate realized volatility * covariation * jumps * wavelets
Permanent Link	http://hdl.handle.net/11104/0202661

Number of the records: 1