Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556)
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scientific article; zbMATH DE number 7767708
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| English | Adaptive robust large volatility matrix estimation based on high-frequency financial data |
scientific article; zbMATH DE number 7767708 |
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Adaptive robust large volatility matrix estimation based on high-frequency financial data (English)
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17 November 2023
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heterogeneity
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tail index
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pre-averaging
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minimax lower bound
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optimality
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POET
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factor model
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