Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273)
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scientific article; zbMATH DE number 7049022
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| English | Structured volatility matrix estimation for non-synchronized high-frequency financial data |
scientific article; zbMATH DE number 7049022 |
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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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0.8485944271087646
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0.8362267017364502
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0.8341884016990662
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0.8204954862594604
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0.8064603805541992
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