Structured volatility matrix estimation for non-synchronized high-frequency financial data
Jianqing Fan, Donggyu Kim
| Year of publication: |
2019
|
|---|---|
| Authors: | Fan, Jianqing ; Kim, Donggyu |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 209.2019, 1, p. 61-78
|
| Subject: | Diffusion process | Factor model | High-frequency data | Low-rank matrix | Matrix completion | POET | Sparsity | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Lineare Algebra | Linear algebra | Schätztheorie | Estimation theory | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Korrelation | Correlation | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.12.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012302521