High-dimensional volatility matrix estimation via wavelets and thresholding

@article{Fryzlewicz2013HighdimensionalVM,
  title={High-dimensional volatility matrix estimation via wavelets and thresholding},
  author={Piotr Fryzlewicz},
  journal={Biometrika},
  year={2013},
  volume={100},
  pages={921-938}
}
We propose a locally stationary linear model for the evolution of high-dimensional financial returns, where the time-varying volatility matrix is modelled as a piecewise constant function of time. We introduce a new wavelet-based technique for estimating the volatility matrix, which 10 combines four ingredients: a Haar wavelet decomposition, variance stabilization of the Haar coefficients via the Fisz transform prior to thresholding, a bias correction, and extra time-domain thresholding, soft… 

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