High-dimensional integrated volatility matrix estimation for high-frequency financial data

DOI10.1360/N012016-00047zbMath1499.91130OpenAlexW2790569186MaRDI QIDQ5063938

Yong Zhou, Yan Mu, Huiling Yuan

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/n012016-00047

zbMATH Keywords

high-frequency datamarket microstructureasynchronoushigh-dimensional volatility matrix

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial markets (91G15)

This page was built for publication: High-dimensional integrated volatility matrix estimation for high-frequency financial data