Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps
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This paper has been announced in the following NEP Reports:- NEP-ECM-2016-02-23 (Econometrics)
- NEP-ETS-2016-02-23 (Econometric Time Series)
- NEP-MST-2016-02-23 (Market Microstructure)
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