FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA

DOI10.1017/S0266466612000746zbMath1283.91144OpenAlexW2108978393MaRDI QIDQ5403112

Minjing Tao, Yazhen Wang, Xiaohong Chen

Publication date: 25 March 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466612000746

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Stochastic models in economics (91B70)

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