Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data

Kong, XB; Lin, JG; Liu, GY

Liu, GY (corresponding author), Nanjing Audit Univ, Sch Stat & Math, 86 Yushan Western Rd, Nanjing 211815, Peoples R China.

RANDOM MATRICES-THEORY AND APPLICATIONS, 2020; 9 (3):

Abstract

In this paper, we decompose the volatility of a diffusion process into systematic and idiosyncratic components, which are not identified with observat......

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