Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Donggyu Kim, Xin-Bing Kong, Cui-Xia Li, Yazhen Wang
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Kim, Donggyu ; Kong, Xin-Bing ; Li, Cui-Xia ; Wang, Yazhen |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 203.2018, 1, p. 69-79
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| Subject: | Pre-averaging realized volatility | Regularization | Sparsity | Adaptive thresholding | Diffusion | Integrated volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.09.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974617