Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches

Author: Tao Minjing   Wang Yazhen   Yao Qiwei   Zou Jian  

Publisher: Taylor & Francis Ltd

ISSN: 0162-1459

Source: Journal of the American Statistical Association, Vol.106, Iss.495, 2011-09, pp. : 1025-1040

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract