Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
DOI10.1016/J.JECONOM.2017.09.006zbMATH Open1386.62037OpenAlexW2774632094MaRDI QIDQ1706445FDOQ1706445
Authors: Donggyu Kim, Xin-Bing Kong, Cuixia Li, Yazhen Wang 
Publication date: 22 March 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.09.006
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regularizationsparsitydiffusionintegrated volatilitypre-averaging realized volatilityadaptive thresholding
Markov processes: estimation; hidden Markov models (62M05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (11)
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Time series models for realized covariance matrices based on the matrix-F distribution
- Testing against constant factor loading matrix with large panel high-frequency data
- A rank test for the number of factors with high-frequency data
- Robust covariance estimation with noisy high-frequency financial data
- Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems
- Large volatility matrix analysis using global and national factor models
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- High-dimensional volatility matrix estimation via wavelets and thresholding
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