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Fast convergence rates in estimating large volatility matrices using high-frequency financial data
Tao, Minjing; Wang, Yazhen; Chen, Xiaohong - In: Econometric theory 29 (2013) 4, pp. 838-856
Persistent link: https://www.econbiz.de/10010210158
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FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
Tao, Minjing; Wang, Yazhen; Chen, Xiaohong - In: Econometric theory 29 (2013) 4, pp. 838-856
Persistent link: https://www.econbiz.de/10010155203
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SHRINKAGE ESTIMATION FOR NEARLY SINGULAR DESIGNS
Knight, Keith; Barnabani, M.; Caner, M.; Caner, M.; … - In: Econometric theory 24 (2008) 2, pp. 323-337
Persistent link: https://www.econbiz.de/10007912728