Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
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Publication:1706445
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Cites work
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Cited in
(11)- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- Testing against constant factor loading matrix with large panel high-frequency data
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Large volatility matrix analysis using global and national factor models
- Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems
- High-dimensional volatility matrix estimation via wavelets and thresholding
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Time series models for realized covariance matrices based on the matrix-F distribution
- Robust covariance estimation with noisy high-frequency financial data
- A rank test for the number of factors with high-frequency data
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