Structured volatility matrix estimation for non-synchronized high-frequency financial data
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Publication:1740273
DOI10.1016/j.jeconom.2018.12.019zbMath1452.62761OpenAlexW2776631285WikidataQ114666102 ScholiaQ114666102MaRDI QIDQ1740273
Publication date: 30 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.12.019
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
Adaptive robust large volatility matrix estimation based on high-frequency financial data, Large volatility matrix analysis using global and national factor models, Block-diagonal precision matrix regularization for ultra-high dimensional data
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