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Volatility matrix inference in high-frequency finance with regularization and efficient computations.
Jian Zou
Yunbo An
Hong Yan
Published in:
IEEE BigData (2015)
Keyphrases
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high frequency
low frequency
high resolution
visual quality
wavelet transform
subband
high frequencies
high frequency components
stock market
discrete wavelet transform
frequency band
wavelet coefficients
wavelet decomposition
blocking artifacts