Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
高频金融数据大维瞬时波动率矩阵的非参数估计
In this paper, we consider estimating spot/instantaneous volatility matrices of high-frequency data collected for a large number of assets. We first combine classic nonparametric kernel-based smoothing with a generalised shrinkage technique in the matrix estimation for noise-free data under a uniform sparsity assumption, a natural extension of the approximate sparsity commonly used in the literature. The uniform consistency property is derived for the proposed spot…