Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273): Difference between revisions
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Revision as of 04:30, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Structured volatility matrix estimation for non-synchronized high-frequency financial data |
scientific article |
Statements
Structured volatility matrix estimation for non-synchronized high-frequency financial data (English)
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30 April 2019
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diffusion process
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factor model
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high-frequency data
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low-rank matrix
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matrix completion
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POET
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sparsity
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