High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise.
Wanwan LiangBen WuXinyan FanBingyi JingBo ZhangPublished in: J. Syst. Sci. Complex. (2023)
Keyphrases
- cross sectional
- heavy tailed
- high dimensional
- garch model
- chinese stock market
- noisy data
- blood vessels
- cross section
- generalized gaussian
- deformation field
- low dimensional
- noise level
- mri data
- missing data
- dimensionality reduction
- noise reduction
- stock market
- noise free
- parameter estimation
- graph cuts
- markov random field
- higher order