Adaptive robust large volatility matrix estimation based on high-frequency financial data
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Publication:6090556
DOI10.1016/j.jeconom.2023.105514arXiv2102.12752MaRDI QIDQ6090556
Jianqing Fan, Minseok Shin, Donggyu Kim
Publication date: 17 November 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.12752
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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