Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data
Year of publication: |
[2021]
|
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Authors: | Shin, Minseok ; Kim, Donggyu ; Fan, Jianqing |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Robustes Verfahren | Robust statistics | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (51 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 26, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3793394 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; c55 ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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