Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data

DOI10.1142/S2010326320500070zbMath1456.62172OpenAlexW2925047423MaRDI QIDQ3387056

Xin-Bing Kong, Jin-Guan Lin, Guangying Liu

Publication date: 12 January 2021

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s2010326320500070

zbMATH Keywords

high-dimensional Itô processsystematic volatilityidiosyncratic volatilityrealized Laplace transform

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Generalized stochastic processes (60G20) Jump processes on general state spaces (60J76)

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