High-dimensional volatility matrix estimation via wavelets and thresholding (Q2870256)
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scientific article; zbMATH DE number 6247597
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| English | High-dimensional volatility matrix estimation via wavelets and thresholding |
scientific article; zbMATH DE number 6247597 |
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High-dimensional volatility matrix estimation via wavelets and thresholding (English)
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17 January 2014
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financial return
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Haar-Fisz transformation
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high dimensionality
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local stationarity
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sparsity
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thresholding
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volatility matrix
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wavelet
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0.8311578035354614
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0.8297929167747498
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0.8208698034286499
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0.8055024147033691
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