Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
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DOI: 10.1080/01621459.2017.1340888
Abstract: ABSTRACT High-frequency financial data allow us to estimate large volatility matrices with relatively short time horizon. Many novel statistical methods have been introduced to address large volatility matrix estimation problems from a high-dimensional Itô process… read more here.
Keywords: high dimensional; estimation; high frequency; volatility ... See more keywords