Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
type: Item
instance of: scholarly article
title: Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
zbMATH Open document ID: 1386.62037
author: Donggyu Kim
author: Xin-Bing Kong
author: Cuixia Li
author: Yazhen Wang
published in: Journal of Econometrics
publication date: 2018-03-22T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62H12
zbMATH DE Number: 6852081
zbMATH Keywords: pre-averaging realized volatility
zbMATH Keywords: regularization
zbMATH Keywords: sparsity
zbMATH Keywords: adaptive thresholding
zbMATH Keywords: diffusion
zbMATH Keywords: integrated volatility
MaRDI profile type: Publication
full work available at URL: j.jeconom.2017.09.006
OpenAlex ID: W2774632094
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DOI: 10.1016/J.JECONOM.2017.09.006
description: scientific article; zbMATH DE number 6852081