Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
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Publication:1750098
DOI10.3150/17-BEJ974zbMath1415.62079MaRDI QIDQ1750098
Yi Liu, Donggyu Kim, Yazhen Wang
Publication date: 18 May 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1524038766
diffusionregularizationsparsityfactor modelintegrated volatilityadaptive thresholdpre-averaging realized volatilitykernel realized volatilitymultiple-scale realized volatility
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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