Cargando…
High-dimensional estimation of quadratic variation based on penalized realized variance
In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous Itô semimartingale. We adapt the principle idea of regularization from linear regression to covariance estimation in a continuous-time high-frequency setting. We s...
| Autores principales: | , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Netherlands
2022
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9734998/ http://dx.doi.org/10.1007/s11203-022-09282-8 |