Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 6869888
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data |
scientific article; zbMATH DE number 6869888 |
Statements
Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (English)
0 references
18 May 2018
0 references
adaptive threshold
0 references
diffusion
0 references
factor model
0 references
integrated volatility
0 references
kernel realized volatility
0 references
multiple-scale realized volatility
0 references
pre-averaging realized volatility
0 references
regularization
0 references
sparsity
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.9391499
0 references
0 references
0.92597085
0 references
0.9228704
0 references
0.9161365
0 references
0.91113484
0 references
0 references
0.90714777
0 references
0.9057849
0 references
