High-dimensional integrated volatility matrix estimation forhigh-frequency financial data with jumps

DOI10.1360/N012019-00030zbMath1499.91131OpenAlexW3092433915MaRDI QIDQ5064140

Yong Zhou, Yan Mu

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/n012019-00030

zbMATH Keywords

high-frequency datamarket microstructuresemi-positive definitehigh-dimensional volatility matrix

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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