Vast volatility matrix estimation for high-frequency financial data

DOI10.1214/09-AOS730zbMath1183.62184arXiv1002.4754MaRDI QIDQ2380093

Jian Zou, Yazhen Wang

Publication date: 24 March 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.4754

zbMATH Keywords

diffusionregularizationconvergence ratematrix normthresholdsparsityrealized volatilityintegrated volatilitymicro-structure noise

Mathematics Subject Classification ID

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