Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
基于高频金融数据的大维波动率矩阵自适应阈值估计
Universal thresholding methods have been developed to estimate the large sparse integrated volatility matrix of underlying assets based on high-frequency financial data. Since the integrated volatility matrix often has entries with a wide range of variability, universal thresholding estimators do not take the varying entries into consideration and may have unsatisfactory performances. This paper investigates adaptive thresholding estimation of the large integrated volatility…