Asymptotic theory for large volatility matrix estimation based on high-frequency financial data

DOI10.1016/j.spa.2016.05.004zbMath1367.62283OpenAlexW2354275877MaRDI QIDQ326850

Jian Zou, Yazhen Wang, Donggyu Kim

Publication date: 12 October 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.05.004

zbMATH Keywords

diffusionregularizationthresholdsparsityintegrated volatilitymulti-scale realized volatilitypre-averaging realized volatilitykernel realized volatility

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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