High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970)
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scientific article; zbMATH DE number 7903311
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise |
scientific article; zbMATH DE number 7903311 |
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High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (English)
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29 August 2024
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cross-sectional dependence
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high-dimensional data
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high-frequency data
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integrated volatility matrix
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market microstructure noise
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