High-dimensional volatility matrix estimation via wavelets and thresholding (Q2870256)
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scientific article; zbMATH DE number 6247597
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional volatility matrix estimation via wavelets and thresholding |
scientific article; zbMATH DE number 6247597 |
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High-dimensional volatility matrix estimation via wavelets and thresholding (English)
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17 January 2014
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financial return
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Haar-Fisz transformation
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high dimensionality
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local stationarity
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sparsity
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thresholding
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volatility matrix
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wavelet
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