2016•Stochastic Processes and their ApplicationsOpen access

Asymptotic theory for large volatility matrix estimation based on high-frequency financial data

Donggyu Kim, Yazhen Wang, Jian Zou

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Key concepts: Volatility (finance), Estimator, Mathematics, Realized variance, Econometrics, Stochastic volatility, Forward volatility, Implied volatility

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Asymptotic theory for large volatility matrix estimation based on high-frequency financial data — Research Paper | ScholarLens