Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors-Reference-Cited by-同舟云学术

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Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors

Published:2013-08-01 Issue:4 Volume:41 Page:
ISSN:0090-5364
Container-title:The Annals of Statistics
language:
Short-container-title:Ann. Statist.

Author:

Tao Minjing,Wang Yazhen,Zhou Harrison H.

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://projecteuclid.org/download/pdfview_1/euclid.aos/1378386240

Cited by 61 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dynamic Realized Minimum Variance Portfolio Models;Journal of Business & Economic Statistics;2024-03-12

2. Estimation of the quadratic variation of log prices based on the Itô semi-martingale;Electronic Research Archive;2024

3. Factor Overnight GARCH-Itô Models;Journal of Financial Econometrics;2023-12-19

4. A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data;Management Science;2023-12-12

5. High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise;Journal of Systems Science and Complexity;2023-10

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