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

@inproceedings{Tao2011LargeVM,
  title={Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches},
  author={Minjing Tao and Yazhen Wang and Qiwei Yao and Jian Zou},
  year={2011}
}
It is increasingly important in financial economics to estimate volatilities of asset returns. However, most of the available methods are not directly applicable when the number of assets involved is large, due to the lack of accuracy in estimating high-dimensional matrices. Therefore it is pertinent to reduce the effective size of volatility matrices in order to produce adequate estimates and forecasts. Furthermore, since high-frequency financial data for different assets are typically not… CONTINUE READING
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