Pages that link to "Item:Q5403112"
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The following pages link to FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112):
Displayed 11 items.
- Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
- On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867) (← links)
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
- Statistical Inference for Unified Garch-Itô Models with High-Frequency Financial Data (Q2815047) (← links)
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (Q4569339) (← links)