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Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
In this paper, we introduce a novel method for predicting intraday instantaneous volatility based on Ito semimartingale models using high-frequency financial data.
Large Global Volatility Matrix Analysis Based on Observation Structural Information
In this paper, we develop a novel large volatility matrix estimation procedure for analyzing global financial markets.
Large Volatility Matrix Analysis Using Global and National Factor Models
Several large volatility matrix inference procedures have been developed, based on the latent factor model.
Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia
By using the FPPC method, estimators of the factors and loadings have faster rates of convergence than those of the conventional factor analysis.
