Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
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
|
Subject: | Pre-averaging realized volatility | Regularization | Sparsity | Adaptive thresholding | Diffusion | Integrated volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Börsenkurs | Share price |
-
Kim, Donggyu, (2019)
-
Forecasting volatility of stock indices with ARCH model
Alam, Md. Zahangir, (2013)
-
Correlated idiosyncratic volatility shocks
Qiao, Xiao, (2021)
- More ...
-
Conditional quantile analysis for realized GARCH models
Kim, Donggyu, (2021)
-
Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin, (2016)
-
Volatility analysis with realized GARCH-Itô models
Song, Xinyu, (2021)
- More ...