Vast volatility matrix estimation for high-frequency financial data (Q2380093)
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scientific article; zbMATH DE number 5686524
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| English | Vast volatility matrix estimation for high-frequency financial data |
scientific article; zbMATH DE number 5686524 |
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Vast volatility matrix estimation for high-frequency financial data (English)
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24 March 2010
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convergence rate
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diffusion
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integrated volatility
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matrix norm
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micro-structure noise
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realized volatility
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regularization
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sparsity
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threshold
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0.9145611524581908
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0.8967767357826233
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0.8899518847465515
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0.8855220079421997
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