Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098)
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scientific article; zbMATH DE number 6869888
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| English | Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data |
scientific article; zbMATH DE number 6869888 |
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Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (English)
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18 May 2018
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adaptive threshold
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diffusion
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factor model
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integrated volatility
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kernel realized volatility
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multiple-scale realized volatility
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pre-averaging realized volatility
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regularization
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sparsity
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0.9391499
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