Fast convergence rates in estimating large volatility matrices using high-frequency financial data
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Cites work
- scientific article; zbMATH DE number 1028237 (Why is no real title available?)
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Cited in
(28)- Comment on article by Windle and Carvalho
- High-dimensional integrated volatility matrix estimation for high-frequency financial data
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Overnight GARCH-Itô Volatility Models
- Statistical inference for unified Garch-Itô models with high-frequency financial data
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
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- State heterogeneity analysis of financial volatility using high-frequency financial data
- Vast volatility matrix estimation for high-frequency financial data
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
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