MARC details
| 000 -LEADER |
|---|
| fixed length control field |
01780nam a22002777a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20240319135426.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
240319b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
02664666 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Tao, Minjing |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Fast convergence rates in estimating large volatility matrices using high frequency financial data |
| Statement of responsibility, etc. |
created by Minjing Tao, Yazhen Wang and Xiaohong Chen |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge: |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Econometric Theory |
| Volume/sequential designation |
Volume 29, number 4 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
Financial practices often need to estimate an integrated volatility matrix of a large number of assets using noisy high-frequency data. Many existing estimators of a volatility matrix of small dimensions become inconsistent when the size of the matrix is close to or larger than the sample size. This paper introduces a new type of large volatility matrix estimator based on nonsynchronized high-frequency data, allowing for the presence of microstructure noise. When both the number of assets and the sample size go to infinity, we show that our new estimator is consistent and achieves a fast convergence rate, where the rate is optimal with respect to the sample size. A simulation study is conducted to check the finite sample performance of the proposed estimator. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Estimation |
| Form subdivision |
Volatility |
| General subdivision |
Estimation theory |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Time series analysis |
| Form subdivision |
Financial market |
| General subdivision |
Forecasting model |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Wang, Yazhen |
| Relator term |
co author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Chen, Xiaohong |
| Relator term |
co author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
https://doi.org/10.1017/S0266466612000746 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |