Vast volatility matrix estimation for high-frequency financial data

Annals of Statistics

Volumn 38, Issue 2, 2010, Pages 943-978

  Wang, Yazhen ^a   Zou, Jian ^b  

^a University of Wisconsin   (United States)

^b UNIVERSITY OF CONNECTICUT   (United States)

Author keywords

Convergence rate; Diffusion; Integrated volatility; Matrix norm; Microstructure noise; Realized volatility; Regularization; Sparsity; Threshold

Indexed keywords

EID: 77649317617     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/09-AOS730     Document Type: Article

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