Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic theory for large volatility matrix estimation based on high-frequency financial data |
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Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (English)
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12 October 2016
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multi-scale realized volatility
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kernel realized volatility
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pre-averaging realized volatility
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regularization
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sparsity
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threshold
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diffusion
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integrated volatility
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