Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Asymptotic theory for large volatility matrix estimation based on high-frequency financial data |
scientific article; zbMATH DE number 6637942
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Asymptotic theory for large volatility matrix estimation based on high-frequency financial data |
scientific article; zbMATH DE number 6637942 |
Statements
Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (English)
0 references
12 October 2016
0 references
multi-scale realized volatility
0 references
kernel realized volatility
0 references
pre-averaging realized volatility
0 references
regularization
0 references
sparsity
0 references
threshold
0 references
diffusion
0 references
integrated volatility
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8845224976539612
0 references
0.8788949847221375
0 references
0.8552272319793701
0 references
0.831336498260498
0 references
0.8255678415298462
0 references
