Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
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Publication:4559707
DOI10.1080/01621459.2017.1340888zbMath1402.62250OpenAlexW2635878986WikidataQ92582461 ScholiaQ92582461MaRDI QIDQ4559707
Publication date: 4 December 2018
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc6430242
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