Adaptive robust large volatility matrix estimation based on high-frequency financial data
Minseok Shin, Donggyu Kim, Jianqing Fan
| Year of publication: |
2023
|
|---|---|
| Authors: | Shin, Minseok ; Kim, Donggyu ; Fan, Jianqing |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 237.2023, 1, p. 1-22
|
| Subject: | Factor model | Heterogeneity | Minimax lower bound | Optimality | POET | Pre-averaging | Tail index | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.105514 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014471480