Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445)
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scientific article; zbMATH DE number 6852081
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data |
scientific article; zbMATH DE number 6852081 |
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Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (English)
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22 March 2018
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pre-averaging realized volatility
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regularization
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sparsity
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adaptive thresholding
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diffusion
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integrated volatility
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