The Convergence Rates of Large Volatility Matrix Estimator Based on Noise, Jumps, and Asynchronization
At the turn of the 21st century, the wide availability of high-frequency data aroused an increasing demand for better modeling and statistical inference. A challenging problem in statistics and econometrics is the estimation problem of the integrated volatility matrix based on high-frequency data. T...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-03-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/6/1425 |