Vast volatility matrix estimation for high-frequency financial data

@inproceedings{Wang2010VastVM,
  title={Vast volatility matrix estimation for high-frequency financial data},
  author={Yazhen Wang and Jian Zou},
  year={2010}
}
High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are often used to estimate integrated volatility. For problems involving a large number of assets, the estimation objects we face are volatility matrices of large size. The existing volatility estimators work well for a small number of assets but perform poorly when the number of assets is very large. In fact, they are… CONTINUE READING

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