Pages that link to "Item:Q4559707"
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The following pages link to Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707):
Displaying 24 items.
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach (Q825354) (← links)
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867) (← links)
- Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (Q2079627) (← links)
- Robust sieve M-estimation with an application to dimensionality reduction (Q2161188) (← links)
- Robust classification via MOM minimization (Q2203337) (← links)
- Identifying latent factors based on high-frequency data (Q2688663) (← links)
- Robust estimation of a high-dimensional integrated covariance matrix (Q2974915) (← links)
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473) (← links)
- State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (Q5030954) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- Conditional quantile analysis for realized GARCH models (Q5095829) (← links)
- Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
- Community network auto-regression for high-dimensional time series (Q6108298) (← links)
- Large volatility matrix analysis using global and national factor models (Q6108334) (← links)
- Volatility models for stylized facts of high‐frequency financial data (Q6135344) (← links)
- Power enhancement for testing multi-factor asset pricing models via Fisher's method (Q6150526) (← links)
- Overnight GARCH-Itô Volatility Models (Q6190733) (← links)
- Testing for jumps with robust spot volatility estimators (Q6490929) (← links)
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970) (← links)
- High-dimensional covariance matrix estimation (Q6601084) (← links)
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data (Q6620901) (← links)
