Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445)
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scientific article; zbMATH DE number 6852081
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| English | Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data |
scientific article; zbMATH DE number 6852081 |
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Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (English)
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22 March 2018
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pre-averaging realized volatility
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regularization
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sparsity
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adaptive thresholding
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diffusion
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integrated volatility
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0.8552272319793701
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0.8519905209541321
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0.8193375468254089
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0.8138406276702881
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