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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
噪声 异步高频 数据估算 因子 现货波动率 矩阵
2023/5/4
With noisy and asynchronous high-frequency data collected for an ultra-large number of assets, we estimate high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure. A loca...
7 May 2007，Physicists have long been able to measure the tiny thermal fluctuations in the magnetization of ferromagnetic materials like iron, but measuring similar “noise” from antiferromagnetic mater...
February 21, 2007，Male Anole lizards signal ownership of their territory by sitting up on a tree trunk, bobbing their heads up and down and extending a colorful throat pouch.
They can spot a rival li...