Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches

DOI10.1198/jasa.2011.tm10276zbMath1229.62141OpenAlexW2011355601MaRDI QIDQ3111195

Qiwei Yao, Minjing Tao, Jian Zou, Yazhen Wang

Publication date: 18 January 2012

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/39321/1/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_Yao%2C%20Q_Yao_Large_%20volatility_%20matrix_2011_Yao_Large_%20volatility_%20matrix_2011.pdf

zbMATH Keywords

dimension reductionfactor modeleigenanalysisvector autoregressive modelmatrix processrealized volatilities

Mathematics Subject Classification ID

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