Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

Keyphrases

• Volatility 100%
• Factor Model 100%
• Matrix Estimation 100%
• Frequency Factor 100%
• Sub-Gaussian 40%
• Log-returns 40%
• Heavy Tails 40%
• Asymptotic Theory 40%
• Simulation Study 20%
• Estimation Method 20%
• Estimation Problem 20%
• Finite Sample Performance 20%
• Threshold Method 20%
• Fourth Moment 20%
• Statistical Methods 20%
• Microstructural 20%
• Robust Estimator 20%
• Higher-order Moments 20%
• Low-rank Matrix 20%
• High-frequency Trading 20%
• Volatility Estimation 20%
• Realized Volatility 20%
• Stock Returns 20%
• Orthogonal Components 20%
• Financial Stocks 20%
• Noise Pollution 20%
• Gaussian Concentration 20%
• Huber Loss Function 20%

Mathematics

• Matrix (Mathematics) 100%
• Gaussian Distribution 50%
• Asymptotic Theory 50%
• Heavy Tail 50%
• Loss Function 25%
• Approximates 25%
• Simulation Study 25%
• Estimation Method 25%
• Statistical Method 25%
• Thresholding 25%
• Robust Estimator 25%
• Sparse Matrix 25%