Structured volatility matrix estimation for non-synchronized high-frequency financial data

Published 2019 View Full Article

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Title
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Authors
Keywords
Diffusion process, Factor model, High-frequency data, Low-rank matrix, Matrix completion, POET, Sparsity
Journal
JOURNAL OF ECONOMETRICS
Volume -, Issue -, Pages -
Publisher
Elsevier BV
Online
2019-01-03
DOI
10.1016/j.jeconom.2018.12.019

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