On a spiked model for large volatility matrix estimation from noisy high-frequency data

Mathematics

• High-frequency Data 100%
• Noisy Data 80%
• Spike 78%
• Volatility 77%
• Eigenvalue Distribution 28%
• Random Matrix Theory 28%
• Microstructure 25%
• Largest Eigenvalue 25%
• Continuous Distributions 24%
• Market 23%
• Model 22%
• Density Function 21%
• Averaging 21%
• Covariance matrix 20%
• High-dimensional 18%
• Methodology 16%
• Demonstrate 13%
• Estimator 13%

Engineering & Materials Science

• Covariance matrix 17%
• Probability density function 16%
• Microstructure 11%