Large volatility matrix inference via combining low-frequency and high-frequency approaches

Journal of the American Statistical Association

Volumn 106, Issue 495, 2011, Pages 1025-1040

  Tao, Minjing ^a   Wang, Yazhen ^a   Yao, Qiwei ^b,c   Zou, Jian ^d  

^a University of Wisconsin   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c Peking University   (China)

^d INDIANA UNIVERSITY   (United States)

Author keywords

Dimension reduction; Eigenanalysis; Factor model; Matrix process; Realized volatilities; Vector autoregressive model

Indexed keywords

EID: 80054698194     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2011.tm10276     Document Type: Article

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