Large volatility matrix estimation with factor-based...

Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data

Kim, Donggyu, Liu, Yi, Wang, Yazhen
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Volume:
24
Language:
english
Journal:
Bernoulli
DOI:
10.3150/17-BEJ974
Date:
November, 2018
File:
PDF, 303 KB
english, 2018
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