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

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%

Keyphrases

• Financial Stocks 20%
• Noise Pollution 20%
• Gaussian Concentration 20%
• Huber Loss Function 20%