A low-rank matrix completion approach predicts the rest of today's intraday volatility from past days plus the first part of today, without fitting a parametric volatility model.
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Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility
A low-rank matrix completion approach predicts the rest of today's intraday volatility from past days plus the first part of today, without fitting a parametric volatility model.