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

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Publication:1750098

DOI10.3150/17-BEJ974zbMath1415.62079MaRDI QIDQ1750098

Yi Liu, Donggyu Kim, Yazhen Wang

Publication date: 18 May 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1524038766




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