Vast volatility matrix estimation for high-frequency financial data (Q2380093)

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Vast volatility matrix estimation for high-frequency financial data
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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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