Adaptive thresholding for large volatility matrix...

Journal of Econometrics 2017 / 12

Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data

Kim, Donggyu, Kong, Xin-Bing, Li, Cui-Xia, Wang, Yazhen
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Language:
english
Journal:
Journal of Econometrics
DOI:
10.1016/j.jeconom.2017.09.006
Date:
December, 2017
File:
PDF, 554 KB
english, 2017
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