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Search: subject:"Volatility matrix"
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Estimation theory
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ECONIS (ZBW)
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Factor overnight GARCH-Itô models
Kim, Donggyu
;
Oh, Minseog
;
Song, Xinyu
;
Wang, Yazhen
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2024
Persistent link: https://www.econbiz.de/10015338787
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Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu
;
Matsuda, Yasumasa
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2023
Persistent link: https://www.econbiz.de/10014310363
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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
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2022
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This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
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