High-dimensional volatility matrix estimation via wavelets and thresholding

DOI10.1093/BIOMET/AST033zbMath1452.62764OpenAlexW2107185835MaRDI QIDQ2870256

Piotr Fryzlewicz

Publication date: 17 January 2014

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9b08efa318a0d1cf630bc3f93660f27cadcfd90b

zbMATH Keywords

wavelethigh dimensionalitythresholdinglocal stationaritysparsityfinancial returnHaar-Fisz transformationvolatility matrix

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Robust inference of risks of large portfolios ⋮ Using principal component analysis to estimate a high dimensional factor model with high-frequency data ⋮ Risks of large portfolios ⋮ A multiple testing approach to the regularisation of large sample correlation matrices ⋮ Large Covariance Estimation by Thresholding Principal Orthogonal Complements ⋮ NOVELIST estimator of large correlation and covariance matrices and their inverses

Uses Software

• haarfisz

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