Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Structured volatility matrix estimation for non-synchronized high-frequency financial data |
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)
0 references
30 April 2019
0 references
diffusion process
0 references
factor model
0 references
high-frequency data
0 references
low-rank matrix
0 references
matrix completion
0 references
POET
0 references
sparsity
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
