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Spectral covolatility estimation from noisy observations using local weights
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Spectral covolatility estimation from noisy observations using local weights

M. Bibinger
M. Reiß
ArXiv (abs)PDFHTML

Papers citing "Spectral covolatility estimation from noisy observations using local weights"

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Title
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
Minjing Tao
Yazhen Wang
Harrison H. Zhou
142
70
0
19 Sep 2013